WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
CORPORATE BONDS & NOTES - 35.8% | ||||||||||||||||
COMMUNICATION SERVICES - 3.4% | ||||||||||||||||
Diversified Telecommunication Services - 1.1% |
|
|||||||||||||||
AT&T Inc., Senior Notes |
3.800 | % | 2/15/27 | $ | 5,087,000 | $ | 4,782,911 | |||||||||
AT&T Inc., Senior Notes |
2.300 | % | 6/1/27 | 12,330,000 | 10,921,968 | |||||||||||
AT&T Inc., Senior Notes |
2.250 | % | 2/1/32 | 10,810,000 | 8,139,181 | |||||||||||
AT&T Inc., Senior Notes |
2.550 | % | 12/1/33 | 3,570,000 | 2,623,262 | |||||||||||
AT&T Inc., Senior Notes |
5.350 | % | 9/1/40 | 2,210,000 | 1,971,122 | |||||||||||
AT&T Inc., Senior Notes |
5.550 | % | 8/15/41 | 2,560,000 | 2,300,607 | |||||||||||
AT&T Inc., Senior Notes |
4.350 | % | 6/15/45 | 5,210,000 | 3,903,235 | |||||||||||
AT&T Inc., Senior Notes |
3.500 | % | 9/15/53 | 6,221,000 | 3,847,053 | |||||||||||
AT&T Inc., Senior Notes |
3.550 | % | 9/15/55 | 8,291,000 | 5,080,613 | |||||||||||
AT&T Inc., Senior Notes |
3.800 | % | 12/1/57 | 790,000 | 500,963 | |||||||||||
AT&T Inc., Senior Notes |
3.650 | % | 9/15/59 | 2,080,000 | 1,266,899 | |||||||||||
Telefonica Emisiones SA, Senior Notes |
4.103 | % | 3/8/27 | 219,000 | 206,464 | |||||||||||
Telefonica Emisiones SA, Senior Notes |
5.213 | % | 3/8/47 | 2,821,000 | 2,249,495 | |||||||||||
Verizon Communications Inc., Senior Notes |
2.625 | % | 8/15/26 | 2,387,000 | 2,205,741 | |||||||||||
Verizon Communications Inc., Senior Notes |
4.125 | % | 3/16/27 | 6,114,000 | 5,817,686 | |||||||||||
Verizon Communications Inc., Senior Notes |
3.000 | % | 3/22/27 | 1,960,000 | 1,799,247 | |||||||||||
Verizon Communications Inc., Senior Notes |
2.100 | % | 3/22/28 | 7,170,000 | 6,161,492 | |||||||||||
Verizon Communications Inc., Senior Notes |
4.329 | % | 9/21/28 | 9,637,000 | 9,059,226 | |||||||||||
Verizon Communications Inc., Senior Notes |
3.875 | % | 2/8/29 | 1,728,000 | 1,583,315 | |||||||||||
Verizon Communications Inc., Senior Notes |
3.150 | % | 3/22/30 | 5,090,000 | 4,346,424 | |||||||||||
Verizon Communications Inc., Senior Notes |
1.750 | % | 1/20/31 | 7,020,000 | 5,292,878 | |||||||||||
Verizon Communications Inc., Senior Notes |
2.550 | % | 3/21/31 | 11,027,000 | 8,785,842 | |||||||||||
Verizon Communications Inc., Senior Notes |
2.355 | % | 3/15/32 | 30,000 | 22,897 | |||||||||||
Verizon Communications Inc., Senior Notes |
4.500 | % | 8/10/33 | 30,258,000 | 26,953,859 | |||||||||||
Verizon Communications Inc., Senior Notes |
5.250 | % | 3/16/37 | 2,097,000 | 1,958,321 | |||||||||||
Verizon Communications Inc., Senior Notes |
2.650 | % | 11/20/40 | 7,300,000 | 4,624,259 | |||||||||||
Verizon Communications Inc., Senior Notes |
3.400 | % | 3/22/41 | 2,220,000 | 1,574,927 | |||||||||||
Verizon Communications Inc., Senior Notes |
3.850 | % | 11/1/42 | 11,066,000 | 8,187,747 | |||||||||||
Verizon Communications Inc., Senior Notes |
4.125 | % | 8/15/46 | 3,739,000 | 2,796,684 | |||||||||||
Verizon Communications Inc., Senior Notes |
4.862 | % | 8/21/46 | 514,000 | 425,295 | |||||||||||
Verizon Communications Inc., Senior Notes |
5.500 | % | 3/16/47 | 564,000 | 523,637 | |||||||||||
Verizon Communications Inc., Senior Notes |
4.000 | % | 3/22/50 | 14,010,000 | 10,048,959 | |||||||||||
Verizon Communications Inc., Senior Notes |
2.875 | % | 11/20/50 | 1,610,000 | 931,526 | |||||||||||
|
|
|||||||||||||||
Total Diversified Telecommunication Services |
|
150,893,735 | ||||||||||||||
|
|
|||||||||||||||
Entertainment - 0.2% |
||||||||||||||||
Walt Disney Co., Senior Notes |
6.200 | % | 12/15/34 | 36,000 | 37,433 | |||||||||||
Walt Disney Co., Senior Notes |
6.650 | % | 11/15/37 | 1,970,000 | 2,116,460 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
1 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Entertainment - (continued) |
||||||||||||||||
Warnermedia Holdings Inc., Senior Notes |
6.412 | % | 3/15/26 | $ | 6,220,000 | $ | 6,221,552 | |||||||||
Warnermedia Holdings Inc., Senior Notes |
3.755 | % | 3/15/27 | 3,410,000 | 3,149,655 | |||||||||||
Warnermedia Holdings Inc., Senior Notes |
4.054 | % | 3/15/29 | 4,560,000 | 4,064,957 | |||||||||||
Warnermedia Holdings Inc., Senior Notes |
4.279 | % | 3/15/32 | 14,740,000 | 12,520,334 | |||||||||||
Warnermedia Holdings Inc., Senior Notes |
5.050 | % | 3/15/42 | 1,650,000 | 1,277,007 | |||||||||||
Warnermedia Holdings Inc., Senior Notes |
5.141 | % | 3/15/52 | 880,000 | 654,400 | |||||||||||
|
|
|||||||||||||||
Total Entertainment |
|
30,041,798 | ||||||||||||||
|
|
|||||||||||||||
Interactive Media & Services - 0.1% |
||||||||||||||||
Alphabet Inc., Senior Notes |
0.450 | % | 8/15/25 | 1,740,000 | 1,594,433 | |||||||||||
Alphabet Inc., Senior Notes |
1.100 | % | 8/15/30 | 3,810,000 | 2,967,263 | |||||||||||
Alphabet Inc., Senior Notes |
1.900 | % | 8/15/40 | 3,820,000 | 2,391,386 | |||||||||||
Alphabet Inc., Senior Notes |
2.050 | % | 8/15/50 | 2,360,000 | 1,289,875 | |||||||||||
|
|
|||||||||||||||
Total Interactive Media & Services |
|
8,242,957 | ||||||||||||||
|
|
|||||||||||||||
Media - 1.6% |
||||||||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
4.908 | % | 7/23/25 | 27,894,000 | 27,265,804 | |||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
3.750 | % | 2/15/28 | 940,000 | 848,041 | |||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
4.200 | % | 3/15/28 | 6,296,000 | 5,780,909 | |||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
5.050 | % | 3/30/29 | 23,297,000 | 21,784,539 | |||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
2.800 | % | 4/1/31 | 2,440,000 | 1,904,054 | |||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
4.400 | % | 4/1/33 | 11,290,000 | 9,607,664 | |||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
6.384 | % | 10/23/35 | 170,000 | 158,500 | |||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
5.375 | % | 4/1/38 | 8,337,000 | 6,824,210 | |||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
3.500 | % | 3/1/42 | 3,280,000 | 2,029,063 |
See Notes to Schedule of Investments.
2 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Media - (continued) |
||||||||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
6.484 | % | 10/23/45 | $ | 2,474,000 | $ | 2,162,019 | |||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
5.375 | % | 5/1/47 | 2,242,000 | 1,710,029 | |||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
5.750 | % | 4/1/48 | 1,857,000 | 1,484,172 | |||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
5.125 | % | 7/1/49 | 8,887,000 | 6,485,839 | |||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
4.800 | % | 3/1/50 | 9,320,000 | 6,523,871 | |||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
3.900 | % | 6/1/52 | 11,220,000 | 6,715,995 | |||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
3.850 | % | 4/1/61 | 8,500,000 | 4,756,001 | |||||||||||
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
5.500 | % | 4/1/63 | 5,440,000 | 4,029,275 | |||||||||||
Comcast Corp., Senior Notes |
3.950 | % | 10/15/25 | 6,395,000 | 6,206,254 | |||||||||||
Comcast Corp., Senior Notes |
3.150 | % | 3/1/26 | 4,835,000 | 4,592,641 | |||||||||||
Comcast Corp., Senior Notes |
3.300 | % | 4/1/27 | 2,900,000 | 2,701,199 | |||||||||||
Comcast Corp., Senior Notes |
4.150 | % | 10/15/28 | 29,841,000 | 28,278,526 | (a) | ||||||||||
Comcast Corp., Senior Notes |
3.400 | % | 4/1/30 | 3,920,000 | 3,459,677 | |||||||||||
Comcast Corp., Senior Notes |
4.250 | % | 10/15/30 | 17,737,000 | 16,344,956 | |||||||||||
Comcast Corp., Senior Notes |
7.050 | % | 3/15/33 | 3,475,000 | 3,795,077 | |||||||||||
Comcast Corp., Senior Notes |
5.650 | % | 6/15/35 | 2,669,000 | 2,638,883 | |||||||||||
Comcast Corp., Senior Notes |
3.900 | % | 3/1/38 | 3,430,000 | 2,804,441 | |||||||||||
Comcast Corp., Senior Notes |
3.250 | % | 11/1/39 | 1,490,000 | 1,089,697 | |||||||||||
Comcast Corp., Senior Notes |
3.750 | % | 4/1/40 | 4,130,000 | 3,201,699 | |||||||||||
Comcast Corp., Senior Notes |
3.400 | % | 7/15/46 | 690,000 | 470,729 | |||||||||||
Comcast Corp., Senior Notes |
4.000 | % | 8/15/47 | 1,510,000 | 1,129,399 | |||||||||||
Comcast Corp., Senior Notes |
3.969 | % | 11/1/47 | 5,770,000 | 4,310,075 | |||||||||||
Comcast Corp., Senior Notes |
4.000 | % | 3/1/48 | 6,080,000 | 4,563,438 | |||||||||||
Comcast Corp., Senior Notes |
3.999 | % | 11/1/49 | 3,070,000 | 2,281,123 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
3 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Media - (continued) |
||||||||||||||||
Comcast Corp., Senior Notes |
3.450 | % | 2/1/50 | $ | 2,420,000 | $ | 1,637,875 | |||||||||
Comcast Corp., Senior Notes |
2.800 | % | 1/15/51 | 5,160,000 | 3,023,948 | |||||||||||
Comcast Corp., Senior Notes |
2.887 | % | 11/1/51 | 6,340,000 | 3,739,398 | |||||||||||
Comcast Corp., Senior Notes |
2.937 | % | 11/1/56 | 5,924,000 | 3,369,579 | |||||||||||
Comcast Corp., Senior Notes |
4.950 | % | 10/15/58 | 1,150,000 | 990,815 | |||||||||||
Fox Corp., Senior Notes |
5.476 | % | 1/25/39 | 18,060,000 | 15,620,861 | |||||||||||
Time Warner Cable LLC, Senior Secured Notes |
6.550 | % | 5/1/37 | 3,441,000 | 3,123,187 | |||||||||||
Time Warner Cable LLC, Senior Secured Notes |
7.300 | % | 7/1/38 | 403,000 | 388,494 | |||||||||||
Time Warner Cable LLC, Senior Secured Notes |
6.750 | % | 6/15/39 | 985,000 | 902,309 | |||||||||||
Time Warner Cable LLC, Senior Secured Notes |
5.875 | % | 11/15/40 | 5,058,000 | 4,194,229 | |||||||||||
Time Warner Cable LLC, Senior Secured Notes |
5.500 | % | 9/1/41 | 18,000 | 14,092 | |||||||||||
|
|
|||||||||||||||
Total Media |
234,942,586 | |||||||||||||||
|
|
|||||||||||||||
Wireless Telecommunication Services - 0.4% |
|
|||||||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes |
4.738 | % | 3/20/25 | 527,250 | 521,804 | (b) | ||||||||||
T-Mobile USA Inc., Senior Notes |
3.500 | % | 4/15/25 | 6,820,000 | 6,582,369 | |||||||||||
T-Mobile USA Inc., Senior Notes |
3.750 | % | 4/15/27 | 1,330,000 | 1,243,225 | |||||||||||
T-Mobile USA Inc., Senior Notes |
3.875 | % | 4/15/30 | 23,820,000 | 21,112,831 | |||||||||||
T-Mobile USA Inc., Senior Notes |
2.550 | % | 2/15/31 | 7,900,000 | 6,289,095 | |||||||||||
T-Mobile USA Inc., Senior Notes |
2.250 | % | 11/15/31 | 19,220,000 | 14,654,820 | |||||||||||
T-Mobile USA Inc., Senior Notes |
4.375 | % | 4/15/40 | 4,020,000 | 3,232,026 | |||||||||||
T-Mobile USA Inc., Senior Notes |
3.000 | % | 2/15/41 | 5,020,000 | 3,328,707 | |||||||||||
T-Mobile USA Inc., Senior Notes |
3.300 | % | 2/15/51 | 2,300,000 | 1,440,458 | |||||||||||
|
|
|||||||||||||||
Total Wireless Telecommunication Services |
|
58,405,335 | ||||||||||||||
|
|
|||||||||||||||
TOTAL COMMUNICATION SERVICES |
482,526,411 | |||||||||||||||
|
|
|||||||||||||||
CONSUMER DISCRETIONARY - 2.1% | ||||||||||||||||
Automobiles - 0.1% |
||||||||||||||||
General Motors Co., Senior Notes |
5.600 | % | 10/15/32 | 2,580,000 | 2,410,979 | |||||||||||
General Motors Co., Senior Notes |
6.600 | % | 4/1/36 | 400,000 | 389,045 | |||||||||||
General Motors Co., Senior Notes |
5.150 | % | 4/1/38 | 797,000 | 666,280 | |||||||||||
General Motors Co., Senior Notes |
6.250 | % | 10/2/43 | 4,266,000 | 3,826,178 |
See Notes to Schedule of Investments.
4 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Automobiles - (continued) |
||||||||||||||||
General Motors Co., Senior Notes |
5.950 | % | 4/1/49 | $ | 716,000 | $ | 607,927 | |||||||||
General Motors Financial Co. Inc., Senior Notes |
4.350 | % | 1/17/27 | 949,000 | 893,647 | |||||||||||
|
|
|||||||||||||||
Total Automobiles |
8,794,056 | |||||||||||||||
|
|
|||||||||||||||
Broadline Retail - 0.8% |
||||||||||||||||
Amazon.com Inc., Senior Notes |
3.300 | % | 4/13/27 | 2,400,000 | 2,259,236 | |||||||||||
Amazon.com Inc., Senior Notes |
1.200 | % | 6/3/27 | 8,090,000 | 7,031,498 | |||||||||||
Amazon.com Inc., Senior Notes |
3.150 | % | 8/22/27 | 6,261,000 | 5,827,273 | |||||||||||
Amazon.com Inc., Senior Notes |
3.450 | % | 4/13/29 | 5,130,000 | 4,739,577 | |||||||||||
Amazon.com Inc., Senior Notes |
1.500 | % | 6/3/30 | 4,990,000 | 3,952,973 | |||||||||||
Amazon.com Inc., Senior Notes |
2.100 | % | 5/12/31 | 4,510,000 | 3,619,036 | |||||||||||
Amazon.com Inc., Senior Notes |
3.600 | % | 4/13/32 | 21,400,000 | 18,983,155 | (a) | ||||||||||
Amazon.com Inc., Senior Notes |
3.875 | % | 8/22/37 | 6,705,000 | 5,727,207 | |||||||||||
Amazon.com Inc., Senior Notes |
4.950 | % | 12/5/44 | 3,036,000 | 2,833,222 | |||||||||||
Amazon.com Inc., Senior Notes |
4.050 | % | 8/22/47 | 28,455,000 | 22,892,260 | (a) | ||||||||||
Amazon.com Inc., Senior Notes |
2.500 | % | 6/3/50 | 19,520,000 | 11,447,997 | |||||||||||
Amazon.com Inc., Senior Notes |
4.250 | % | 8/22/57 | 4,760,000 | 3,814,872 | |||||||||||
Prosus NV, Senior Notes |
3.680 | % | 1/21/30 | 11,350,000 | 9,153,584 | (b) | ||||||||||
Prosus NV, Senior Notes |
4.027 | % | 8/3/50 | 15,440,000 | 8,851,027 | (b) | ||||||||||
Prosus NV, Senior Notes |
3.832 | % | 2/8/51 | 14,500,000 | 8,017,383 | (b) | ||||||||||
|
|
|||||||||||||||
Total Broadline Retail |
119,150,300 | |||||||||||||||
|
|
|||||||||||||||
Hotels, Restaurants & Leisure - 0.9% |
||||||||||||||||
Las Vegas Sands Corp., Senior Notes |
3.200 | % | 8/8/24 | 11,044,000 | 10,691,539 | |||||||||||
Las Vegas Sands Corp., Senior Notes |
2.900 | % | 6/25/25 | 2,610,000 | 2,434,778 | |||||||||||
McDonalds Corp., Senior Notes |
1.450 | % | 9/1/25 | 7,940,000 | 7,354,575 | |||||||||||
McDonalds Corp., Senior Notes |
3.700 | % | 1/30/26 | 3,953,000 | 3,803,189 | |||||||||||
McDonalds Corp., Senior Notes |
3.500 | % | 3/1/27 | 2,484,000 | 2,339,461 | |||||||||||
McDonalds Corp., Senior Notes |
3.500 | % | 7/1/27 | 3,620,000 | 3,392,353 | |||||||||||
McDonalds Corp., Senior Notes |
3.800 | % | 4/1/28 | 1,513,000 | 1,423,708 | |||||||||||
McDonalds Corp., Senior Notes |
2.125 | % | 3/1/30 | 8,770,000 | 7,195,325 | |||||||||||
McDonalds Corp., Senior Notes |
3.600 | % | 7/1/30 | 4,130,000 | 3,689,678 | |||||||||||
McDonalds Corp., Senior Notes |
4.875 | % | 12/9/45 | 5,870,000 | 5,088,500 | |||||||||||
McDonalds Corp., Senior Notes |
3.625 | % | 9/1/49 | 800,000 | 564,070 | |||||||||||
McDonalds Corp., Senior Notes |
4.200 | % | 4/1/50 | 9,400,000 | 7,306,598 | |||||||||||
Sands China Ltd., Senior Notes |
5.375 | % | 8/8/25 | 7,559,000 | 7,327,364 | |||||||||||
Sands China Ltd., Senior Notes |
5.650 | % | 8/8/28 | 31,015,000 | 29,215,069 | |||||||||||
Sands China Ltd., Senior Notes |
3.100 | % | 3/8/29 | 4,690,000 | 3,883,956 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
5 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Hotels, Restaurants & Leisure - (continued) |
||||||||||||||||
Sands China Ltd., Senior Notes |
4.875 | % | 6/18/30 | $ | 15,340,000 | $ | 13,257,170 | |||||||||
Sands China Ltd., Senior Notes |
3.500 | % | 8/8/31 | 21,050,000 | 16,674,543 | |||||||||||
|
|
|||||||||||||||
Total Hotels, Restaurants & Leisure |
125,641,876 | |||||||||||||||
|
|
|||||||||||||||
Household Durables - 0.0% |
||||||||||||||||
Newell Brands Inc., Senior Notes |
5.200 | % | 4/1/26 | 179,000 | 168,858 | |||||||||||
|
|
|||||||||||||||
Specialty Retail - 0.2% |
||||||||||||||||
Home Depot Inc., Senior Notes |
2.500 | % | 4/15/27 | 4,170,000 | 3,806,769 | |||||||||||
Home Depot Inc., Senior Notes |
3.900 | % | 12/6/28 | 750,000 | 708,524 | |||||||||||
Home Depot Inc., Senior Notes |
2.700 | % | 4/15/30 | 4,380,000 | 3,743,094 | |||||||||||
Home Depot Inc., Senior Notes |
3.300 | % | 4/15/40 | 5,250,000 | 3,916,463 | |||||||||||
Home Depot Inc., Senior Notes |
3.900 | % | 6/15/47 | 820,000 | 627,078 | |||||||||||
Home Depot Inc., Senior Notes |
3.350 | % | 4/15/50 | 9,410,000 | 6,421,690 | |||||||||||
Lowes Cos. Inc., Senior Notes |
1.700 | % | 9/15/28 | 9,030,000 | 7,544,818 | |||||||||||
Lowes Cos. Inc., Senior Notes |
4.500 | % | 4/15/30 | 2,800,000 | 2,613,790 | |||||||||||
|
|
|||||||||||||||
Total Specialty Retail |
29,382,226 | |||||||||||||||
|
|
|||||||||||||||
Textiles, Apparel & Luxury Goods - 0.1% |
||||||||||||||||
NIKE Inc., Senior Notes |
2.400 | % | 3/27/25 | 3,750,000 | 3,588,510 | |||||||||||
NIKE Inc., Senior Notes |
2.750 | % | 3/27/27 | 6,050,000 | 5,591,900 | |||||||||||
NIKE Inc., Senior Notes |
2.850 | % | 3/27/30 | 5,960,000 | 5,166,426 | |||||||||||
NIKE Inc., Senior Notes |
3.250 | % | 3/27/40 | 2,820,000 | 2,137,721 | |||||||||||
NIKE Inc., Senior Notes |
3.375 | % | 3/27/50 | 1,170,000 | 835,748 | |||||||||||
|
|
|||||||||||||||
Total Textiles, Apparel & Luxury Goods |
|
17,320,305 | ||||||||||||||
|
|
|||||||||||||||
TOTAL CONSUMER DISCRETIONARY |
300,457,621 | |||||||||||||||
|
|
|||||||||||||||
CONSUMER STAPLES - 1.6% | ||||||||||||||||
Beverages - 0.6% |
||||||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes |
3.650 | % | 2/1/26 | 13,236,000 | 12,715,779 | |||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes |
4.900 | % | 2/1/46 | 15,181,000 | 13,240,474 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes |
4.000 | % | 4/13/28 | 1,270,000 | 1,202,666 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes |
4.750 | % | 1/23/29 | 21,378,000 | 20,735,781 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes |
3.500 | % | 6/1/30 | 2,710,000 | 2,412,865 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes |
4.350 | % | 6/1/40 | 10,440,000 | 8,883,287 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes |
4.600 | % | 4/15/48 | 966,000 | 817,106 |
See Notes to Schedule of Investments.
6 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Beverages - (continued) |
||||||||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes |
5.550 | % | 1/23/49 | $ | 4,520,000 | $ | 4,334,619 | |||||||||
Coca-Cola Co., Senior Notes |
3.375 | % | 3/25/27 | 3,540,000 | 3,354,636 | |||||||||||
Coca-Cola Co., Senior Notes |
2.500 | % | 6/1/40 | 4,010,000 | 2,732,381 | |||||||||||
Coca-Cola Co., Senior Notes |
2.600 | % | 6/1/50 | 3,180,000 | 1,946,510 | |||||||||||
Constellation Brands Inc., Senior Notes |
3.600 | % | 5/9/24 | 3,890,000 | 3,833,963 | |||||||||||
Constellation Brands Inc., Senior Notes |
4.350 | % | 5/9/27 | 5,460,000 | 5,227,222 | |||||||||||
PepsiCo Inc., Senior Notes |
2.250 | % | 3/19/25 | 760,000 | 726,277 | |||||||||||
PepsiCo Inc., Senior Notes |
2.625 | % | 3/19/27 | 760,000 | 701,409 | |||||||||||
PepsiCo Inc., Senior Notes |
1.625 | % | 5/1/30 | 2,410,000 | 1,937,575 | |||||||||||
PepsiCo Inc., Senior Notes |
2.875 | % | 10/15/49 | 2,270,000 | 1,486,854 | |||||||||||
|
|
|||||||||||||||
Total Beverages |
86,289,404 | |||||||||||||||
|
|
|||||||||||||||
Consumer Staples Distribution & Retail - 0.1% |
||||||||||||||||
Costco Wholesale Corp., Senior Notes |
1.375 | % | 6/20/27 | 11,490,000 | 10,050,376 | |||||||||||
Costco Wholesale Corp., Senior Notes |
1.600 | % | 4/20/30 | 10,000 | 8,035 | |||||||||||
Costco Wholesale Corp., Senior Notes |
1.750 | % | 4/20/32 | 5,190,000 | 3,976,054 | |||||||||||
Walmart Inc., Senior Notes |
1.500 | % | 9/22/28 | 2,940,000 | 2,495,643 | |||||||||||
Walmart Inc., Senior Notes |
2.375 | % | 9/24/29 | 1,060,000 | 924,426 | |||||||||||
Walmart Inc., Senior Notes |
1.800 | % | 9/22/31 | 2,020,000 | 1,590,853 | |||||||||||
|
|
|||||||||||||||
Total Consumer Staples Distribution & Retail |
19,045,387 | |||||||||||||||
|
|
|||||||||||||||
Food Products - 0.3% |
||||||||||||||||
Danone SA, Senior Notes |
2.589 | % | 11/2/23 | 6,493,000 | 6,475,292 | (b) | ||||||||||
Danone SA, Senior Notes |
2.947 | % | 11/2/26 | 4,317,000 | 4,011,518 | (b) | ||||||||||
Hershey Co., Senior Notes |
0.900 | % | 6/1/25 | 1,930,000 | 1,790,124 | |||||||||||
Kraft Heinz Foods Co., Senior Notes |
3.000 | % | 6/1/26 | 2,588,000 | 2,427,080 | |||||||||||
Kraft Heinz Foods Co., Senior Notes |
5.000 | % | 7/15/35 | 293,000 | 271,856 | |||||||||||
Kraft Heinz Foods Co., Senior Notes |
5.000 | % | 6/4/42 | 36,000 | 31,208 | |||||||||||
Mars Inc., Senior Notes |
2.700 | % | 4/1/25 | 3,269,000 | 3,133,060 | (b) | ||||||||||
Mars Inc., Senior Notes |
3.200 | % | 4/1/30 | 9,788,000 | 8,601,687 | (b) | ||||||||||
Mars Inc., Senior Notes |
2.375 | % | 7/16/40 | 3,260,000 | 2,064,913 | (b) | ||||||||||
Mondelez International Inc., Senior Notes |
1.500 | % | 5/4/25 | 10,020,000 | 9,378,423 | |||||||||||
|
|
|||||||||||||||
Total Food Products |
38,185,161 | |||||||||||||||
|
|
|||||||||||||||
Household Products - 0.0% |
||||||||||||||||
Kimberly-Clark Corp., Senior Notes |
3.100 | % | 3/26/30 | 1,810,000 | 1,592,012 | |||||||||||
Procter & Gamble Co., Senior Notes |
3.000 | % | 3/25/30 | 3,430,000 | 3,048,838 | |||||||||||
|
|
|||||||||||||||
Total Household Products |
4,640,850 | |||||||||||||||
|
|
|||||||||||||||
Personal Care Products - 0.2% |
||||||||||||||||
Haleon US Capital LLC, Senior Notes |
3.375 | % | 3/24/27 | 6,490,000 | 6,023,808 | |||||||||||
Haleon US Capital LLC, Senior Notes |
3.375 | % | 3/24/29 | 4,930,000 | 4,423,359 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
7 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Personal Care Products - (continued) |
||||||||||||||||
Haleon US Capital LLC, Senior Notes |
3.625 | % | 3/24/32 | $ | 7,020,000 | $ | 6,023,903 | |||||||||
Kenvue Inc., Senior Notes |
4.900 | % | 3/22/33 | 8,770,000 | 8,386,441 | (b) | ||||||||||
|
|
|||||||||||||||
Total Personal Care Products |
|
24,857,511 | ||||||||||||||
|
|
|||||||||||||||
Tobacco - 0.4% |
||||||||||||||||
Altria Group Inc., Senior Notes |
2.350 | % | 5/6/25 | 1,770,000 | 1,674,944 | |||||||||||
Altria Group Inc., Senior Notes |
4.400 | % | 2/14/26 | 8,997,000 | 8,737,233 | |||||||||||
Altria Group Inc., Senior Notes |
4.800 | % | 2/14/29 | 2,049,000 | 1,949,659 | |||||||||||
Altria Group Inc., Senior Notes |
2.450 | % | 2/4/32 | 2,370,000 | 1,789,062 | |||||||||||
Altria Group Inc., Senior Notes |
5.800 | % | 2/14/39 | 4,635,000 | 4,300,391 | |||||||||||
Altria Group Inc., Senior Notes |
5.950 | % | 2/14/49 | 21,954,000 | 19,744,403 | |||||||||||
Altria Group Inc., Senior Notes |
6.200 | % | 2/14/59 | 710,000 | 664,759 | |||||||||||
BAT Capital Corp., Senior Notes |
3.557 | % | 8/15/27 | 4,675,000 | 4,279,469 | |||||||||||
BAT Capital Corp., Senior Notes |
2.259 | % | 3/25/28 | 3,530,000 | 2,987,823 | |||||||||||
BAT Capital Corp., Senior Notes |
4.540 | % | 8/15/47 | 5,017,000 | 3,457,197 | |||||||||||
Philip Morris International Inc., Senior Notes |
2.100 | % | 5/1/30 | 4,340,000 | 3,466,499 | |||||||||||
Philip Morris International Inc., Senior Notes |
4.500 | % | 3/20/42 | 1,406,000 | 1,123,747 | |||||||||||
Reynolds American Inc., Senior Notes |
6.150 | % | 9/15/43 | 1,110,000 | 982,070 | |||||||||||
Reynolds American Inc., Senior Notes |
5.850 | % | 8/15/45 | 1,610,000 | 1,335,324 | |||||||||||
|
|
|||||||||||||||
Total Tobacco |
|
56,492,580 | ||||||||||||||
|
|
|||||||||||||||
TOTAL CONSUMER STAPLES |
229,510,893 | |||||||||||||||
|
|
|||||||||||||||
ENERGY - 6.4% | ||||||||||||||||
Energy Equipment & Services - 0.0% |
||||||||||||||||
Halliburton Co., Senior Notes |
3.800 | % | 11/15/25 | 78,000 | 75,450 | |||||||||||
Halliburton Co., Senior Notes |
5.000 | % | 11/15/45 | 1,075,000 | 912,579 | |||||||||||
|
|
|||||||||||||||
Total Energy Equipment & Services |
|
988,029 | ||||||||||||||
|
|
|||||||||||||||
Oil, Gas & Consumable Fuels - 6.4% |
||||||||||||||||
Apache Corp., Senior Notes |
6.000 | % | 1/15/37 | 89,000 | 80,231 | |||||||||||
Apache Corp., Senior Notes |
5.100 | % | 9/1/40 | 11,863,000 | 9,437,072 | |||||||||||
Apache Corp., Senior Notes |
5.250 | % | 2/1/42 | 6,878,000 | 5,392,202 | |||||||||||
Apache Corp., Senior Notes |
4.750 | % | 4/15/43 | 18,342,000 | 13,379,898 | |||||||||||
Apache Corp., Senior Notes |
4.250 | % | 1/15/44 | 18,144,000 | 11,901,194 | |||||||||||
BP Capital Markets America Inc., Senior Notes |
3.119 | % | 5/4/26 | 8,803,000 | 8,322,981 | |||||||||||
BP Capital Markets America Inc., Senior Notes |
3.633 | % | 4/6/30 | 9,410,000 | 8,478,636 | |||||||||||
BP Capital Markets America Inc., Senior Notes |
1.749 | % | 8/10/30 | 5,000,000 | 3,956,560 |
See Notes to Schedule of Investments.
8 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
BP Capital Markets America Inc., Senior Notes |
3.000 | % | 2/24/50 | $ | 14,510,000 | $ | 9,060,200 | |||||||||
BP Capital Markets America Inc., Senior Notes |
2.772 | % | 11/10/50 | 1,240,000 | 731,360 | |||||||||||
BP Capital Markets America Inc., Senior Notes |
2.939 | % | 6/4/51 | 760,000 | 464,839 | |||||||||||
Cameron LNG LLC, Senior Secured Notes |
2.902 | % | 7/15/31 | 9,880,000 | 8,179,365 | (b) | ||||||||||
Cameron LNG LLC, Senior Secured Notes |
3.302 | % | 1/15/35 | 15,650,000 | 12,474,873 | (b) | ||||||||||
Chevron Corp., Senior Notes |
1.995 | % | 5/11/27 | 2,750,000 | 2,465,885 | |||||||||||
Chevron Corp., Senior Notes |
3.078 | % | 5/11/50 | 8,710,000 | 5,851,914 | |||||||||||
Chevron USA Inc., Senior Notes |
3.850 | % | 1/15/28 | 8,880,000 | 8,445,278 | |||||||||||
Columbia Pipelines Operating Co. LLC, Senior Notes |
6.036 | % | 11/15/33 | 15,920,000 | 15,548,398 | (b) | ||||||||||
Columbia Pipelines Operating Co. LLC, Senior Notes |
6.544 | % | 11/15/53 | 5,630,000 | 5,510,306 | (b) | ||||||||||
Conoco Funding Co., Senior Notes |
7.250 | % | 10/15/31 | 313,000 | 346,647 | |||||||||||
ConocoPhillips Co., Senior Notes |
6.950 | % | 4/15/29 | 573,000 | 620,863 | |||||||||||
Continental Resources Inc., Senior Notes |
3.800 | % | 6/1/24 | 2,897,000 | 2,851,074 | |||||||||||
Continental Resources Inc., Senior Notes |
4.375 | % | 1/15/28 | 14,875,000 | 13,803,943 | |||||||||||
Continental Resources Inc., Senior Notes |
4.900 | % | 6/1/44 | 7,230,000 | 5,319,502 | |||||||||||
Coterra Energy Inc., Senior Notes |
3.900 | % | 5/15/27 | 11,379,000 | 10,692,314 | |||||||||||
Coterra Energy Inc., Senior Notes |
4.375 | % | 3/15/29 | 25,310,000 | 23,452,417 | |||||||||||
Devon Energy Corp., Senior Notes |
5.850 | % | 12/15/25 | 2,774,000 | 2,760,849 | |||||||||||
Devon Energy Corp., Senior Notes |
5.250 | % | 10/15/27 | 1,026,000 | 1,000,025 | |||||||||||
Devon Energy Corp., Senior Notes |
4.500 | % | 1/15/30 | 2,428,000 | 2,207,620 | |||||||||||
Devon Energy Corp., Senior Notes |
5.600 | % | 7/15/41 | 16,630,000 | 14,732,306 | |||||||||||
Devon Energy Corp., Senior Notes |
4.750 | % | 5/15/42 | 9,470,000 | 7,535,055 | |||||||||||
Devon Energy Corp., Senior Notes |
5.000 | % | 6/15/45 | 21,328,000 | 17,205,629 | |||||||||||
Diamondback Energy Inc., Senior Notes |
3.250 | % | 12/1/26 | 3,669,000 | 3,432,330 | |||||||||||
Diamondback Energy Inc., Senior Notes |
3.500 | % | 12/1/29 | 13,852,000 | 12,301,882 | |||||||||||
Diamondback Energy Inc., Senior Notes |
3.125 | % | 3/24/31 | 6,100,000 | 5,085,363 | |||||||||||
Diamondback Energy Inc., Senior Notes |
4.400 | % | 3/24/51 | 5,090,000 | 3,758,024 | |||||||||||
Ecopetrol SA, Senior Notes |
5.875 | % | 5/28/45 | 70,455,000 | 46,490,774 | |||||||||||
El Paso Natural Gas Co. LLC, Senior Notes |
8.375 | % | 6/15/32 | 2,696,000 | 2,960,321 | |||||||||||
Energy Transfer LP, Senior Notes |
2.900 | % | 5/15/25 | 7,020,000 | 6,672,153 | |||||||||||
Energy Transfer LP, Senior Notes |
4.750 | % | 1/15/26 | 2,060,000 | 2,005,127 | |||||||||||
Energy Transfer LP, Senior Notes |
5.500 | % | 6/1/27 | 6,670,000 | 6,569,207 | |||||||||||
Energy Transfer LP, Senior Notes |
4.950 | % | 6/15/28 | 1,907,000 | 1,826,244 | |||||||||||
Energy Transfer LP, Senior Notes |
5.250 | % | 4/15/29 | 6,358,000 | 6,099,372 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
9 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
Energy Transfer LP, Senior Notes |
3.750 | % | 5/15/30 | $ | 21,808,000 | $ | 19,009,396 | |||||||||
Energy Transfer LP, Senior Notes |
6.100 | % | 2/15/42 | 2,185,000 | 1,975,527 | |||||||||||
Energy Transfer LP, Senior Notes |
5.300 | % | 4/1/44 | 540,000 | 440,150 | |||||||||||
Energy Transfer LP, Senior Notes |
5.400 | % | 10/1/47 | 7,451,000 | 6,154,917 | |||||||||||
Energy Transfer LP, Senior Notes |
6.250 | % | 4/15/49 | 11,182,000 | 10,277,227 | |||||||||||
Enterprise Products Operating LLC, Senior Notes |
4.150 | % | 10/16/28 | 10,006,000 | 9,387,675 | |||||||||||
Enterprise Products Operating LLC, Senior Notes |
3.125 | % | 7/31/29 | 4,660,000 | 4,097,488 | |||||||||||
Enterprise Products Operating LLC, Senior Notes |
2.800 | % | 1/31/30 | 21,270,000 | 18,071,568 | |||||||||||
Enterprise Products Operating LLC, Senior Notes |
6.650 | % | 10/15/34 | 3,670,000 | 3,885,798 | |||||||||||
Enterprise Products Operating LLC, Senior Notes |
7.550 | % | 4/15/38 | 430,000 | 479,273 | |||||||||||
Enterprise Products Operating LLC, Senior Notes |
5.700 | % | 2/15/42 | 510,000 | 488,489 | |||||||||||
Enterprise Products Operating LLC, Senior Notes |
4.450 | % | 2/15/43 | 1,800,000 | 1,475,142 | |||||||||||
Enterprise Products Operating LLC, Senior Notes |
4.850 | % | 3/15/44 | 410,000 | 352,612 | |||||||||||
Enterprise Products Operating LLC, Senior Notes |
5.100 | % | 2/15/45 | 5,000,000 | 4,431,003 | |||||||||||
Enterprise Products Operating LLC, Senior Notes |
4.800 | % | 2/1/49 | 3,960,000 | 3,359,331 | |||||||||||
Enterprise Products Operating LLC, Senior Notes |
4.200 | % | 1/31/50 | 2,620,000 | 2,025,137 | |||||||||||
Enterprise Products Operating LLC, Senior Notes |
3.700 | % | 1/31/51 | 13,300,000 | 9,426,018 | |||||||||||
Enterprise Products Operating LLC, Senior Notes |
3.950 | % | 1/31/60 | 905,000 | 636,797 | |||||||||||
Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. Term SOFR + 2.832%) |
5.375 | % | 2/15/78 | 2,590,000 | 2,159,998 | (c) | ||||||||||
EOG Resources Inc., Senior Notes |
4.150 | % | 1/15/26 | 203,000 | 197,212 | |||||||||||
EOG Resources Inc., Senior Notes |
4.375 | % | 4/15/30 | 13,282,000 | 12,527,316 | |||||||||||
EOG Resources Inc., Senior Notes |
3.900 | % | 4/1/35 | 6,890,000 | 5,854,700 | |||||||||||
EOG Resources Inc., Senior Notes |
4.950 | % | 4/15/50 | 16,795,000 | 14,886,042 | |||||||||||
EQT Corp., Senior Notes |
7.000 | % | 2/1/30 | 5,000,000 | 5,149,579 | |||||||||||
Exxon Mobil Corp., Senior Notes |
2.992 | % | 3/19/25 | 6,340,000 | 6,123,872 |
See Notes to Schedule of Investments.
10 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
Exxon Mobil Corp., Senior Notes |
3.043 | % | 3/1/26 | $ | 2,946,000 | $ | 2,794,841 | |||||||||
Exxon Mobil Corp., Senior Notes |
2.440 | % | 8/16/29 | 13,168,000 | 11,398,075 | |||||||||||
Exxon Mobil Corp., Senior Notes |
3.482 | % | 3/19/30 | 6,450,000 | 5,827,782 | |||||||||||
Exxon Mobil Corp., Senior Notes |
4.227 | % | 3/19/40 | 2,000,000 | 1,705,396 | |||||||||||
Exxon Mobil Corp., Senior Notes |
4.114 | % | 3/1/46 | 3,663,000 | 2,944,538 | |||||||||||
Exxon Mobil Corp., Senior Notes |
4.327 | % | 3/19/50 | 3,110,000 | 2,555,923 | |||||||||||
Exxon Mobil Corp., Senior Notes |
3.452 | % | 4/15/51 | 4,000,000 | 2,802,399 | |||||||||||
KazMunayGas National Co. JSC, Senior Notes |
5.375 | % | 4/24/30 | 12,603,000 | 11,487,530 | (b) | ||||||||||
KazMunayGas National Co. JSC, Senior Notes |
5.750 | % | 4/19/47 | 13,553,000 | 10,568,087 | (b) | ||||||||||
KazMunayGas National Co. JSC, Senior Notes |
6.375 | % | 10/24/48 | 2,803,000 | 2,290,586 | (b) | ||||||||||
Kinder Morgan Energy Partners LP, Senior Notes |
4.250 | % | 9/1/24 | 1,792,000 | 1,763,369 | |||||||||||
Kinder Morgan Energy Partners LP, Senior Notes |
7.300 | % | 8/15/33 | 110,000 | 115,706 | |||||||||||
Kinder Morgan Energy Partners LP, Senior Notes |
6.550 | % | 9/15/40 | 620,000 | 595,202 | |||||||||||
Kinder Morgan Energy Partners LP, Senior Notes |
6.375 | % | 3/1/41 | 730,000 | 691,620 | |||||||||||
Kinder Morgan Energy Partners LP, Senior Notes |
5.500 | % | 3/1/44 | 540,000 | 460,007 | |||||||||||
Kinder Morgan Energy Partners LP, Senior Notes |
5.400 | % | 9/1/44 | 140,000 | 118,081 | |||||||||||
Kinder Morgan Inc., Senior Notes |
4.300 | % | 6/1/25 | 1,800,000 | 1,754,396 | |||||||||||
Kinder Morgan Inc., Senior Notes |
4.300 | % | 3/1/28 | 14,400,000 | 13,559,829 | |||||||||||
Kinder Morgan Inc., Senior Notes |
5.550 | % | 6/1/45 | 14,600,000 | 12,562,845 | |||||||||||
Kinder Morgan Inc., Senior Notes |
5.050 | % | 2/15/46 | 980,000 | 785,048 | |||||||||||
Kinder Morgan Inc., Senior Notes |
5.200 | % | 3/1/48 | 790,000 | 647,352 | |||||||||||
MPLX LP, Senior Notes |
4.125 | % | 3/1/27 | 2,687,000 | 2,543,437 | |||||||||||
MPLX LP, Senior Notes |
4.000 | % | 3/15/28 | 4,267,000 | 3,949,682 | |||||||||||
MPLX LP, Senior Notes |
4.800 | % | 2/15/29 | 1,684,000 | 1,598,584 | |||||||||||
MPLX LP, Senior Notes |
4.500 | % | 4/15/38 | 4,308,000 | 3,493,887 | |||||||||||
MPLX LP, Senior Notes |
5.200 | % | 3/1/47 | 11,830,000 | 9,675,305 | |||||||||||
MPLX LP, Senior Notes |
5.200 | % | 12/1/47 | 4,750,000 | 3,847,662 | |||||||||||
MPLX LP, Senior Notes |
4.700 | % | 4/15/48 | 8,277,000 | 6,282,031 | |||||||||||
MPLX LP, Senior Notes |
5.500 | % | 2/15/49 | 2,554,000 | 2,165,283 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
6.950 | % | 7/1/24 | 286,000 | 288,078 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
5.550 | % | 3/15/26 | 627,000 | 619,341 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
11 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
Occidental Petroleum Corp., Senior Notes |
3.200 | % | 8/15/26 | $ | 2,550,000 | $ | 2,344,421 | |||||||||
Occidental Petroleum Corp., Senior Notes |
3.000 | % | 2/15/27 | 2,257,000 | 2,033,391 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
3.500 | % | 8/15/29 | 12,009,000 | 10,227,230 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
7.875 | % | 9/15/31 | 8,284,000 | 8,972,284 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
6.200 | % | 3/15/40 | 2,346,000 | 2,238,835 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
4.500 | % | 7/15/44 | 18,287,000 | 12,913,274 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
4.625 | % | 6/15/45 | 5,060,000 | 3,644,895 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
6.600 | % | 3/15/46 | 2,570,000 | 2,528,302 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
4.400 | % | 4/15/46 | 3,376,000 | 2,481,073 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
4.100 | % | 2/15/47 | 3,349,000 | 2,215,951 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
4.200 | % | 3/15/48 | 4,594,000 | 3,179,010 | |||||||||||
ONEOK Inc., Senior Notes |
5.550 | % | 11/1/26 | 3,190,000 | 3,169,975 | |||||||||||
ONEOK Inc., Senior Notes |
5.800 | % | 11/1/30 | 5,080,000 | 4,976,127 | |||||||||||
ONEOK Inc., Senior Notes |
6.050 | % | 9/1/33 | 10,450,000 | 10,272,548 | |||||||||||
ONEOK Inc., Senior Notes |
6.625 | % | 9/1/53 | 13,570,000 | 13,303,889 | |||||||||||
Pertamina Persero PT, Senior Notes |
6.000 | % | 5/3/42 | 6,914,000 | 6,318,660 | (b) | ||||||||||
Petrobras Global Finance BV, Senior Notes |
6.250 | % | 3/17/24 | 2,087,000 | 2,084,959 | |||||||||||
Petroleos del Peru SA, Senior Notes |
4.750 | % | 6/19/32 | 30,909,000 | 21,876,043 | (b) | ||||||||||
Petroleos del Peru SA, Senior Notes |
5.625 | % | 6/19/47 | 7,630,000 | 4,618,991 | (b) | ||||||||||
Petroleos Mexicanos, Senior Notes |
5.500 | % | 6/27/44 | 5,746,000 | 3,179,613 | |||||||||||
Petroleos Mexicanos, Senior Notes |
6.375 | % | 1/23/45 | 8,590,000 | 5,023,393 | |||||||||||
Petroleos Mexicanos, Senior Notes |
5.625 | % | 1/23/46 | 8,324,000 | 4,557,473 | |||||||||||
Petroleos Mexicanos, Senior Notes |
6.750 | % | 9/21/47 | 8,367,000 | 4,966,202 | |||||||||||
Pioneer Natural Resources Co., Senior Notes |
1.125 | % | 1/15/26 | 1,890,000 | 1,708,855 | |||||||||||
Pioneer Natural Resources Co., Senior Notes |
1.900 | % | 8/15/30 | 7,290,000 | 5,724,512 | |||||||||||
Pioneer Natural Resources Co., Senior Notes |
2.150 | % | 1/15/31 | 16,630,000 | 13,133,486 | |||||||||||
Reliance Industries Ltd., Senior Notes |
2.875 | % | 1/12/32 | 12,900,000 | 10,304,191 | (b) | ||||||||||
Reliance Industries Ltd., Senior Notes |
3.625 | % | 1/12/52 | 22,500,000 | 14,385,374 | (b) | ||||||||||
Schlumberger Holdings Corp., Senior Notes |
3.900 | % | 5/17/28 | 142,000 | 132,003 | (b) | ||||||||||
Shell International Finance BV, Senior Notes |
2.875 | % | 5/10/26 | 6,654,000 | 6,279,753 | |||||||||||
Shell International Finance BV, Senior Notes |
2.375 | % | 11/7/29 | 8,650,000 | 7,369,348 | |||||||||||
Shell International Finance BV, Senior Notes |
2.750 | % | 4/6/30 | 11,040,000 | 9,500,997 | |||||||||||
Shell International Finance BV, Senior Notes |
4.550 | % | 8/12/43 | 1,451,000 | 1,233,182 | |||||||||||
Shell International Finance BV, Senior Notes |
4.375 | % | 5/11/45 | 4,084,000 | 3,356,255 | |||||||||||
Shell International Finance BV, Senior Notes |
4.000 | % | 5/10/46 | 3,779,000 | 2,929,804 | |||||||||||
Shell International Finance BV, Senior Notes |
3.250 | % | 4/6/50 | 17,290,000 | 11,497,128 |
See Notes to Schedule of Investments.
12 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
Southern Natural Gas Co. LLC, Senior Notes |
8.000 | % | 3/1/32 | $ | 3,985,000 | $ | 4,386,876 | |||||||||
Targa Resources Corp., Senior Notes |
5.200 | % | 7/1/27 | 10,940,000 | 10,726,552 | |||||||||||
Targa Resources Corp., Senior Notes |
4.950 | % | 4/15/52 | 2,600,000 | 2,003,201 | |||||||||||
Tennessee Gas Pipeline Co. LLC, Senior Notes |
2.900 | % | 3/1/30 | 6,590,000 | 5,509,362 | (b) | ||||||||||
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
7.850 | % | 2/1/26 | 17,006,000 | 17,686,882 | |||||||||||
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
3.250 | % | 5/15/30 | 5,340,000 | 4,586,110 | |||||||||||
Western Midstream Operating LP, Senior Notes |
3.100 | % | 2/1/25 | 2,630,000 | 2,518,844 | |||||||||||
Western Midstream Operating LP, Senior Notes |
4.050 | % | 2/1/30 | 10,140,000 | 8,874,348 | |||||||||||
Williams Cos. Inc., Senior Notes |
3.750 | % | 6/15/27 | 7,760,000 | 7,218,878 | |||||||||||
Williams Cos. Inc., Senior Notes |
3.500 | % | 11/15/30 | 1,650,000 | 1,423,728 | |||||||||||
Williams Cos. Inc., Senior Notes |
7.500 | % | 1/15/31 | 2,125,000 | 2,264,134 | |||||||||||
Williams Cos. Inc., Senior Notes |
7.750 | % | 6/15/31 | 23,000 | 24,727 | |||||||||||
Williams Cos. Inc., Senior Notes |
8.750 | % | 3/15/32 | 8,825,000 | 10,042,197 | |||||||||||
Williams Cos. Inc., Senior Notes |
4.900 | % | 1/15/45 | 6,086,000 | 4,912,725 | |||||||||||
Williams Cos. Inc., Senior Notes |
5.100 | % | 9/15/45 | 6,730,000 | 5,662,914 | |||||||||||
Williams Cos. Inc., Senior Notes |
4.850 | % | 3/1/48 | 2,260,000 | 1,807,961 | |||||||||||
|
|
|||||||||||||||
Total Oil, Gas & Consumable Fuels |
908,505,268 | |||||||||||||||
|
|
|||||||||||||||
TOTAL ENERGY |
909,493,297 | |||||||||||||||
|
|
|||||||||||||||
FINANCIALS - 12.2% | ||||||||||||||||
Banks - 8.1% |
||||||||||||||||
ABN AMRO Bank NV, Subordinated Notes |
4.750 | % | 7/28/25 | 1,352,000 | 1,310,745 | (b) | ||||||||||
Banco Santander SA, Senior Notes |
2.746 | % | 5/28/25 | 28,000,000 | 26,377,250 | |||||||||||
Banco Santander SA, Senior Notes (4.175%to 3/24/27 then 1 year Treasury Constant Maturity Rate + 2.000%) |
4.175 | % | 3/24/28 | 1,000,000 | 923,812 | (c) | ||||||||||
Bank of America Corp., Senior Notes |
4.000 | % | 4/1/24 | 3,134,000 | 3,105,260 | |||||||||||
Bank of America Corp., Senior Notes |
3.500 | % | 4/19/26 | 4,567,000 | 4,313,585 | |||||||||||
Bank of America Corp., Senior Notes |
5.000 | % | 1/21/44 | 9,215,000 | 8,120,963 | |||||||||||
Bank of America Corp., Senior Notes (1.319% to 6/19/25 then SOFR + 1.150%) |
1.319 | % | 6/19/26 | 49,280,000 | 45,208,400 | (c) | ||||||||||
Bank of America Corp., Senior Notes (1.898% to 7/23/30 then SOFR + 1.530%) |
1.898 | % | 7/23/31 | 3,000,000 | 2,280,824 | (c) | ||||||||||
Bank of America Corp., Senior Notes (2.572% to 10/20/31 then SOFR + 1.210%) |
2.572 | % | 10/20/32 | 14,650,000 | 11,264,448 | (c) |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
13 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Banks - (continued) |
||||||||||||||||
Bank of America Corp., Senior Notes (2.592% to 4/29/30 then SOFR + 2.150%) |
2.592 | % | 4/29/31 | $ | 15,760,000 | $ | 12,672,317 | (c) | ||||||||
Bank of America Corp., Senior Notes (2.972% to 2/4/32 then SOFR + 1.330%) |
2.972 | % | 2/4/33 | 13,820,000 | 10,903,043 | (c) | ||||||||||
Bank of America Corp., Senior Notes (3.419% to 12/20/27 then 3 mo. Term SOFR + 1.302%) |
3.419 | % | 12/20/28 | 17,046,000 | 15,297,262 | (c) | ||||||||||
Bank of America Corp., Senior Notes (3.593% to 7/21/27 then 3 mo. Term SOFR + 1.632%) |
3.593 | % | 7/21/28 | 7,711,000 | 7,045,562 | (c) | ||||||||||
Bank of America Corp., Senior Notes (3.841% to 4/25/24 then SOFR + 1.110%) |
3.841 | % | 4/25/25 | 7,260,000 | 7,158,292 | (c) | ||||||||||
Bank of America Corp., Senior Notes (3.946% to 1/23/48 then 3 mo. Term SOFR + 1.452%) |
3.946 | % | 1/23/49 | 3,717,000 | 2,743,401 | (c) | ||||||||||
Bank of America Corp., Senior Notes (3.970% to 3/5/28 then 3 mo. Term SOFR + 1.332%) |
3.970 | % | 3/5/29 | 5,000,000 | 4,582,487 | (c) | ||||||||||
Bank of America Corp., Senior Notes (3.974% to 2/7/29 then 3 mo. Term SOFR + 1.472%) |
3.974 | % | 2/7/30 | 22,684,000 | 20,382,876 | (c) | ||||||||||
Bank of America Corp., Senior Notes (4.083% to 3/20/50 then 3 mo. Term SOFR + 3.412%) |
4.083 | % | 3/20/51 | 25,140,000 | 18,607,376 | (c) | ||||||||||
Bank of America Corp., Senior Notes (4.330% to 3/15/49 then 3 mo. Term SOFR + 1.782%) |
4.330 | % | 3/15/50 | 11,720,000 | 9,096,300 | (c) | ||||||||||
Bank of America Corp., Senior Notes (4.376% to 4/27/27 then SOFR + 1.580%) |
4.376 | % | 4/27/28 | 5,370,000 | 5,072,150 | (c) | ||||||||||
Bank of America Corp., Senior Notes (4.571% to 4/27/32 then SOFR + 1.830%) |
4.571 | % | 4/27/33 | 33,190,000 | 29,483,677 | (c) | ||||||||||
Bank of America Corp., Subordinated Notes |
4.200 | % | 8/26/24 | 5,409,000 | 5,316,227 | |||||||||||
Bank of America Corp., Subordinated Notes |
4.000 | % | 1/22/25 | 2,875,000 | 2,799,014 | |||||||||||
Bank of America Corp., Subordinated Notes |
4.450 | % | 3/3/26 | 1,093,000 | 1,053,016 | |||||||||||
Bank of America Corp., Subordinated Notes |
4.250 | % | 10/22/26 | 17,320,000 | 16,459,628 | |||||||||||
Bank of America Corp., Subordinated Notes (2.482% to 9/21/31 then 5 year Treasury Constant Maturity Rate + 1.200%) |
2.482 | % | 9/21/36 | 3,000,000 | 2,185,056 | (c) | ||||||||||
Bank of Montreal, Senior Notes |
1.850 | % | 5/1/25 | 12,810,000 | 12,025,463 |
See Notes to Schedule of Investments.
14 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Banks - (continued) |
||||||||||||||||
Bank of Montreal, Subordinated Notes (3.803% to 12/15/27 then USD 5 year ICE Swap Rate + 1.432%) |
3.803 | % | 12/15/32 | $ | 1,316,000 | $ | 1,150,534 | (c) | ||||||||
Bank of Nova Scotia, Senior Notes |
3.450 | % | 4/11/25 | 19,420,000 | 18,702,389 | |||||||||||
Bank of Nova Scotia, Senior Notes |
1.300 | % | 6/11/25 | 7,120,000 | 6,589,409 | |||||||||||
Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year Treasury Constant Maturity Rate + 2.050%) |
4.588 | % | 5/4/37 | 4,470,000 | 3,728,628 | (c) | ||||||||||
Barclays PLC, Senior Notes (4.972% to 5/16/28 then 3 mo. USD LIBOR + 1.902%) |
4.972 | % | 5/16/29 | 2,909,000 | 2,719,147 | (c) | ||||||||||
Barclays PLC, Subordinated Notes (5.088%to 6/20/29 then 3 mo. USD LIBOR + 3.054%) |
5.088 | % | 6/20/30 | 6,608,000 | 5,908,927 | (c) | ||||||||||
BNP Paribas SA, Senior Notes |
3.375 | % | 1/9/25 | 5,533,000 | 5,341,660 | (b) | ||||||||||
BNP Paribas SA, Senior Notes |
4.400 | % | 8/14/28 | 5,949,000 | 5,534,107 | (b) | ||||||||||
BNP Paribas SA, Senior Notes (2.219% to 6/9/25 then SOFR + 2.074%) |
2.219 | % | 6/9/26 | 8,840,000 | 8,251,756 | (b)(c) | ||||||||||
BNP Paribas SA, Senior Notes (3.052% to 1/13/30 then SOFR + 1.507%) |
3.052 | % | 1/13/31 | 11,830,000 | 9,747,108 | (b)(c) | ||||||||||
BNP Paribas SA, Senior Notes (4.705% to 1/10/24 then 3 mo. Term SOFR + 2.497%) |
4.705 | % | 1/10/25 | 12,051,000 | 11,992,119 | (b)(c) | ||||||||||
BNP Paribas SA, Senior Notes (5.125% to 1/13/28 then 1 year Treasury Constant Maturity Rate + 1.450%) |
5.125 | % | 1/13/29 | 27,240,000 | 26,312,010 | (b)(c) | ||||||||||
BNP Paribas SA, Senior Notes (5.198% to 1/10/29 then 3 mo. Term SOFR + 2.829%) |
5.198 | % | 1/10/30 | 8,704,000 | 8,272,170 | (b)(c) | ||||||||||
BNP Paribas SA, Subordinated Notes (4.375% to 3/1/28 then USD 5 year ICE Swap Rate + 1.483%) |
4.375 | % | 3/1/33 | 3,019,000 | 2,681,945 | (b)(c) | ||||||||||
BPCE SA, Subordinated Notes |
5.150 | % | 7/21/24 | 4,541,000 | 4,469,903 | (b) | ||||||||||
Citigroup Inc., Senior Notes |
3.300 | % | 4/27/25 | 12,054,000 | 11,585,981 | |||||||||||
Citigroup Inc., Senior Notes |
8.125 | % | 7/15/39 | 6,491,000 | 7,639,122 | |||||||||||
Citigroup Inc., Senior Notes |
4.650 | % | 7/30/45 | 7,037,000 | 5,662,831 | |||||||||||
Citigroup Inc., Senior Notes |
4.650 | % | 7/23/48 | 1,675,000 | 1,356,906 | |||||||||||
Citigroup Inc., Senior Notes (2.561% to 5/1/31 then SOFR + 1.167%) |
2.561 | % | 5/1/32 | 5,000,000 | 3,872,596 | (c) | ||||||||||
Citigroup Inc., Senior Notes (2.572% to 6/3/30 then SOFR + 2.107%) |
2.572 | % | 6/3/31 | 46,030,000 | 36,722,998 | (c) | ||||||||||
Citigroup Inc., Senior Notes (3.106% to 4/8/25 then SOFR + 2.842%) |
3.106 | % | 4/8/26 | 5,210,000 | 4,973,254 | (c) | ||||||||||
Citigroup Inc., Senior Notes (3.520% to 10/27/27 then 3 mo. Term SOFR + 1.413%) |
3.520 | % | 10/27/28 | 18,054,000 | 16,342,249 | (c) |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
15 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Banks - (continued) |
||||||||||||||||
Citigroup Inc., Senior Notes (3.785% to 3/17/32 then SOFR + 1.939%) |
3.785 | % | 3/17/33 | $ | 15,970,000 | $ | 13,328,578 | (c) | ||||||||
Citigroup Inc., Senior Notes (3.980% to 3/20/29 then 3 mo. Term SOFR + 1.600%) |
3.980 | % | 3/20/30 | 19,648,000 | 17,655,226 | (c) | ||||||||||
Citigroup Inc., Senior Notes (4.412% to 3/31/30 then SOFR + 3.914%) |
4.412 | % | 3/31/31 | 8,960,000 | 8,062,335 | (c) | ||||||||||
Citigroup Inc., Senior Notes (4.658% to 5/24/27 then SOFR + 1.887%) |
4.658 | % | 5/24/28 | 5,380,000 | 5,143,708 | (c) | ||||||||||
Citigroup Inc., Senior Notes (4.910% to 5/24/32 then SOFR + 2.086%) |
4.910 | % | 5/24/33 | 10,860,000 | 9,888,420 | (c) | ||||||||||
Citigroup Inc., Subordinated Notes |
4.400 | % | 6/10/25 | 4,549,000 | 4,415,132 | |||||||||||
Citigroup Inc., Subordinated Notes |
5.500 | % | 9/13/25 | 1,982,000 | 1,958,832 | |||||||||||
Citigroup Inc., Subordinated Notes |
4.300 | % | 11/20/26 | 1,343,000 | 1,273,834 | |||||||||||
Citigroup Inc., Subordinated Notes |
4.450 | % | 9/29/27 | 19,672,000 | 18,476,690 | |||||||||||
Citigroup Inc., Subordinated Notes |
6.625 | % | 6/15/32 | 412,000 | 416,241 | |||||||||||
Citigroup Inc., Subordinated Notes |
6.125 | % | 8/25/36 | 605,000 | 585,973 | |||||||||||
Citigroup Inc., Subordinated Notes |
6.675 | % | 9/13/43 | 564,000 | 561,638 | |||||||||||
Citigroup Inc., Subordinated Notes |
5.300 | % | 5/6/44 | 1,423,000 | 1,217,548 | |||||||||||
Citigroup Inc., Subordinated Notes |
4.750 | % | 5/18/46 | 716,000 | 561,104 | |||||||||||
Cooperatieve Rabobank UA, Senior Notes |
3.375 | % | 5/21/25 | 13,201,000 | 12,720,977 | |||||||||||
Cooperatieve Rabobank UA, Senior Notes |
4.375 | % | 8/4/25 | 7,477,000 | 7,217,551 | |||||||||||
Cooperatieve Rabobank UA, Senior Notes |
3.750 | % | 7/21/26 | 833,000 | 776,129 | |||||||||||
Cooperatieve Rabobank UA, Senior Notes (1.339% to 6/24/25 then 1 year Treasury Constant Maturity Rate + 1.000%) |
1.339 | % | 6/24/26 | 3,500,000 | 3,221,904 | (b)(c) | ||||||||||
Cooperatieve Rabobank UA, Senior Notes (3.649% to 4/6/27 then 1 year Treasury Constant Maturity Rate + 1.220%) |
3.649 | % | 4/6/28 | 7,190,000 | 6,613,153 | (b)(c) | ||||||||||
Cooperatieve Rabobank UA, Senior Notes (3.758% to 4/6/32 then 1 year Treasury Constant Maturity Rate + 1.420%) |
3.758 | % | 4/6/33 | 7,300,000 | 6,092,597 | (b)(c) | ||||||||||
Credit Agricole SA, Senior Notes (1.907% to 6/16/25 then SOFR + 1.676%) |
1.907 | % | 6/16/26 | 5,920,000 | 5,505,514 | (b)(c) | ||||||||||
Credit Agricole SA, Subordinated Notes (4.000% to 1/10/28 then USD 5 year ICE Swap Rate + 1.644%) |
4.000 | % | 1/10/33 | 3,743,000 | 3,320,483 | (b)(c) | ||||||||||
Danske Bank A/S, Senior Notes |
5.375 | % | 1/12/24 | 10,046,000 | 10,006,616 | (b) | ||||||||||
Danske Bank A/S, Senior Notes (0.976% to 9/10/24 then 1 year Treasury Constant Maturity Rate + 0.550%) |
0.976 | % | 9/10/25 | 9,745,000 | 9,239,644 | (b)(c) |
See Notes to Schedule of Investments.
16 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Banks - (continued) |
||||||||||||||||
Danske Bank A/S, Senior Notes (3.244% to 12/20/24 then 3 mo. USD LIBOR + 1.591%) |
3.244 | % | 12/20/25 | $ | 4,872,000 | $ | 4,667,961 | (b)(c) | ||||||||
Danske Bank A/S, Senior Notes (4.298% to 4/1/27 then 1 year Treasury Constant Maturity Rate + 1.750%) |
4.298 | % | 4/1/28 | 1,500,000 | 1,397,765 | (b)(c) | ||||||||||
Danske Bank A/S, Senior Notes (6.259% to 9/22/25 then 1 year Treasury Constant Maturity Rate + 1.180%) |
6.259 | % | 9/22/26 | 690,000 | 689,995 | (b)(c) | ||||||||||
HSBC Holdings PLC, Senior Notes |
4.300 | % | 3/8/26 | 997,000 | 957,427 | |||||||||||
HSBC Holdings PLC, Senior Notes (2.848%to 6/4/30 then SOFR + 2.387%) |
2.848 | % | 6/4/31 | 11,750,000 | 9,403,250 | (c) | ||||||||||
HSBC Holdings PLC, Senior Notes (3.803%to 3/11/24 then 3 mo. Term SOFR + 1.473%) |
3.803 | % | 3/11/25 | 13,793,000 | 13,624,926 | (c) | ||||||||||
HSBC Holdings PLC, Senior Notes (4.041%to 3/13/27 then 3 mo. Term SOFR + 1.808%) |
4.041 | % | 3/13/28 | 11,121,000 | 10,298,044 | (c) | ||||||||||
HSBC Holdings PLC, Subordinated Notes |
4.250 | % | 3/14/24 | 206,000 | 204,234 | |||||||||||
HSBC Holdings PLC, Subordinated Notes |
4.250 | % | 8/18/25 | 2,457,000 | 2,363,840 | |||||||||||
Intesa Sanpaolo SpA, Subordinated Notes |
5.017 | % | 6/26/24 | 10,460,000 | 10,213,477 | (b) | ||||||||||
Intesa Sanpaolo SpA, Subordinated Notes |
5.710 | % | 1/15/26 | 11,693,000 | 11,168,493 | (b) | ||||||||||
JPMorgan Chase & Co., Senior Notes (2.083% to 4/22/25 then SOFR + 1.850%) |
2.083 | % | 4/22/26 | 11,840,000 | 11,116,339 | (c) | ||||||||||
JPMorgan Chase & Co., Senior Notes (2.522% to 4/22/30 then SOFR + 2.040%) |
2.522 | % | 4/22/31 | 14,820,000 | 12,019,831 | (c) | ||||||||||
JPMorgan Chase & Co., Senior Notes (2.545% to 11/8/31 then SOFR + 1.180%) |
2.545 | % | 11/8/32 | 19,530,000 | 15,121,800 | (c) | ||||||||||
JPMorgan Chase & Co., Senior Notes (2.580% to 4/22/31 then 3 mo. Term SOFR + 1.250%) |
2.580 | % | 4/22/32 | 7,000,000 | 5,525,081 | (c) | ||||||||||
JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/40 then 3 mo. Term SOFR + 2.460%) |
3.109 | % | 4/22/41 | 5,000,000 | 3,478,492 | (c) | ||||||||||
JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/50 then SOFR + 2.440%) |
3.109 | % | 4/22/51 | 6,850,000 | 4,256,276 | (c) | ||||||||||
JPMorgan Chase & Co., Senior Notes (4.023% to 12/5/23 then 3 mo. Term SOFR + 1.262%) |
4.023 | % | 12/5/24 | 19,448,000 | 19,362,662 | (c) | ||||||||||
JPMorgan Chase & Co., Senior Notes (4.203% to 7/23/28 then 3 mo. Term SOFR + 1.522%) |
4.203 | % | 7/23/29 | 6,157,000 | 5,707,857 | (c) |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
17 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Banks - (continued) |
||||||||||||||||
JPMorgan Chase & Co., Senior Notes (4.452% to 12/5/28 then 3 mo. Term SOFR + 1.592%) |
4.452 | % | 12/5/29 | $ | 17,991,000 | $ | 16,798,942 | (c) | ||||||||
JPMorgan Chase & Co., Senior Notes (4.493% to 3/24/30 then 3 mo. Term SOFR + 3.790%) |
4.493 | % | 3/24/31 | 6,000,000 | 5,495,354 | (c) | ||||||||||
JPMorgan Chase & Co., Subordinated Notes |
4.125 | % | 12/15/26 | 5,791,000 | 5,507,011 | |||||||||||
JPMorgan Chase & Co., Subordinated Notes |
4.250 | % | 10/1/27 | 9,717,000 | 9,225,636 | |||||||||||
JPMorgan Chase & Co., Subordinated Notes |
3.625 | % | 12/1/27 | 5,143,000 | 4,742,525 | |||||||||||
JPMorgan Chase & Co., Subordinated Notes |
4.950 | % | 6/1/45 | 8,546,000 | 7,315,870 | |||||||||||
Lloyds Banking Group PLC, Senior Notes |
4.375 | % | 3/22/28 | 4,010,000 | 3,739,856 | |||||||||||
Lloyds Banking Group PLC, Subordinated Notes |
4.650 | % | 3/24/26 | 2,843,000 | 2,723,307 | |||||||||||
Mitsubishi UFJ Financial Group Inc., Senior Notes (3.837% to 4/17/25 then 1 year Treasury Constant Maturity Rate + 1.125%) |
3.837 | % | 4/17/26 | 6,500,000 | 6,278,892 | (c) | ||||||||||
Mitsubishi UFJ Financial Group Inc., Senior Notes (4.080% to 4/19/27 then 1 year Treasury Constant Maturity Rate + 1.300%) |
4.080 | % | 4/19/28 | 6,690,000 | 6,286,346 | (c) | ||||||||||
NatWest Group PLC, Senior Notes (4.269%to 3/22/24 then 3 mo. USD LIBOR + 1.762%) |
4.269 | % | 3/22/25 | 5,803,000 | 5,741,655 | (c) | ||||||||||
PNC Bank NA, Subordinated Notes |
3.875 | % | 4/10/25 | 1,567,000 | 1,512,040 | |||||||||||
PNC Financial Services Group Inc., Senior Notes (5.582% to 6/12/28 then SOFR + 1.841%) |
5.582 | % | 6/12/29 | 13,820,000 | 13,413,608 | (c) | ||||||||||
PNC Financial Services Group Inc., Senior Notes (5.812% to 6/12/25 then SOFR + 1.322%) |
5.812 | % | 6/12/26 | 4,280,000 | 4,247,038 | (c) | ||||||||||
Royal Bank of Canada, Senior Notes |
1.150 | % | 6/10/25 | 6,800,000 | 6,290,533 | |||||||||||
Royal Bank of Canada, Senior Notes |
3.875 | % | 5/4/32 | 19,350,000 | 16,879,140 | |||||||||||
Santander UK Group Holdings PLC, Subordinated Notes |
5.625 | % | 9/15/45 | 484,000 | 353,482 | (b) | ||||||||||
Standard Chartered PLC, Subordinated Notes |
5.700 | % | 3/26/44 | 432,000 | 374,756 | (b) | ||||||||||
Toronto-Dominion Bank, Senior Notes |
1.150 | % | 6/12/25 | 6,770,000 | 6,270,533 | |||||||||||
Toronto-Dominion Bank, Senior Notes |
4.456 | % | 6/8/32 | 3,500,000 | 3,140,832 |
See Notes to Schedule of Investments.
18 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Banks - (continued) |
||||||||||||||||
Truist Financial Corp., Senior Notes (6.047%to 6/8/26 then SOFR + 2.050%) |
6.047 | % | 6/8/27 | $ | 8,060,000 | $ | 7,975,124 | (c) | ||||||||
US Bancorp, Senior Notes |
1.450 | % | 5/12/25 | 11,330,000 | 10,572,453 | |||||||||||
US Bancorp, Senior Notes (2.215% to 1/27/27 then SOFR + 0.730%) |
2.215 | % | 1/27/28 | 1,240,000 | 1,094,504 | (c) | ||||||||||
US Bancorp, Senior Notes (5.775% to 6/12/28 then SOFR + 2.020%) |
5.775 | % | 6/12/29 | 8,530,000 | 8,307,664 | (c) | ||||||||||
US Bancorp, Senior Notes (5.836% to 6/10/33 then SOFR + 2.260%) |
5.836 | % | 6/12/34 | 3,450,000 | 3,256,547 | (c) | ||||||||||
Wells Fargo & Co., Senior Notes |
3.750 | % | 1/24/24 | 11,690,000 | 11,606,640 | |||||||||||
Wells Fargo & Co., Senior Notes |
3.000 | % | 10/23/26 | 7,684,000 | 7,060,354 | |||||||||||
Wells Fargo & Co., Senior Notes |
4.150 | % | 1/24/29 | 8,588,000 | 7,889,850 | |||||||||||
Wells Fargo & Co., Senior Notes (2.188% to 4/30/25 then SOFR + 2.000%) |
2.188 | % | 4/30/26 | 12,110,000 | 11,373,556 | (c) | ||||||||||
Wells Fargo & Co., Senior Notes (2.879% to 10/30/29 then 3 mo. Term SOFR + 1.432%) |
2.879 | % | 10/30/30 | 18,000,000 | 14,993,011 | (c) | ||||||||||
Wells Fargo & Co., Senior Notes (3.350% to 3/2/32 then SOFR + 1.500%) |
3.350 | % | 3/2/33 | 8,970,000 | 7,254,669 | (c) | ||||||||||
Wells Fargo & Co., Senior Notes (4.478% to 4/4/30 then 3 mo. Term SOFR + 4.032%) |
4.478 | % | 4/4/31 | 12,440,000 | 11,289,785 | (c) | ||||||||||
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. Term SOFR + 4.502%) |
5.013 | % | 4/4/51 | 103,670,000 | 87,207,812 | (c) | ||||||||||
Wells Fargo & Co., Subordinated Notes |
4.300 | % | 7/22/27 | 12,726,000 | 11,998,085 | |||||||||||
Wells Fargo & Co., Subordinated Notes |
5.375 | % | 11/2/43 | 430,000 | 373,336 | |||||||||||
Wells Fargo & Co., Subordinated Notes |
5.606 | % | 1/15/44 | 1,522,000 | 1,351,601 | |||||||||||
Wells Fargo & Co., Subordinated Notes |
4.650 | % | 11/4/44 | 1,513,000 | 1,178,211 | |||||||||||
Wells Fargo & Co., Subordinated Notes |
4.900 | % | 11/17/45 | 4,469,000 | 3,589,989 | |||||||||||
Wells Fargo & Co., Subordinated Notes |
4.400 | % | 6/14/46 | 16,048,000 | 11,895,002 | |||||||||||
Wells Fargo & Co., Subordinated Notes |
4.750 | % | 12/7/46 | 13,120,000 | 10,255,944 | |||||||||||
|
|
|||||||||||||||
Total Banks |
1,142,045,253 | |||||||||||||||
|
|
|||||||||||||||
Capital Markets - 3.0% |
||||||||||||||||
Bank of New York Mellon Corp., Senior Notes |
1.600 | % | 4/24/25 | 3,860,000 | 3,619,013 | |||||||||||
Charles Schwab Corp., Senior Notes |
5.875 | % | 8/24/26 | 17,400,000 | 17,349,497 | |||||||||||
Charles Schwab Corp., Senior Notes (6.136% to 8/24/33 then SOFR + 2.010%) |
6.136 | % | 8/24/34 | 3,340,000 | 3,250,842 | (c) | ||||||||||
CME Group Inc., Senior Notes |
5.300 | % | 9/15/43 | 1,070,000 | 1,027,873 | |||||||||||
Credit Suisse AG, Senior Notes |
4.750 | % | 8/9/24 | 2,000,000 | 1,972,038 | |||||||||||
Credit Suisse AG, Senior Notes |
3.625 | % | 9/9/24 | 2,660,000 | 2,589,853 | |||||||||||
Credit Suisse AG, Senior Notes |
7.950 | % | 1/9/25 | 18,480,000 | 18,813,767 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
19 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Capital Markets - (continued) |
||||||||||||||||
Credit Suisse AG, Senior Notes |
2.950 | % | 4/9/25 | $ | 6,410,000 | $ | 6,093,021 | |||||||||
Credit Suisse AG, Senior Notes |
7.500 | % | 2/15/28 | 20,890,000 | 21,862,533 | |||||||||||
Goldman Sachs Capital II, Ltd. GTD (3 mo. Term SOFR + 1.029%) |
6.439 | % | 10/30/23 | 22,000 | 18,087 | (c)(d) | ||||||||||
Goldman Sachs Group Inc., Senior Notes |
3.625 | % | 2/20/24 | 9,269,000 | 9,182,560 | |||||||||||
Goldman Sachs Group Inc., Senior Notes |
4.000 | % | 3/3/24 | 1,012,000 | 1,003,520 | |||||||||||
Goldman Sachs Group Inc., Senior Notes |
3.850 | % | 7/8/24 | 1,352,000 | 1,330,887 | |||||||||||
Goldman Sachs Group Inc., Senior Notes |
3.500 | % | 4/1/25 | 8,120,000 | 7,820,705 | |||||||||||
Goldman Sachs Group Inc., Senior Notes |
3.500 | % | 11/16/26 | 10,965,000 | 10,203,118 | |||||||||||
Goldman Sachs Group Inc., Senior Notes |
3.850 | % | 1/26/27 | 6,210,000 | 5,827,666 | |||||||||||
Goldman Sachs Group Inc., Senior Notes |
6.250 | % | 2/1/41 | 5,481,000 | 5,534,781 | |||||||||||
Goldman Sachs Group Inc., Senior Notes |
4.750 | % | 10/21/45 | 3,616,000 | 3,048,028 | |||||||||||
Goldman Sachs Group Inc., Senior Notes (2.383% to 7/21/31 then SOFR + 1.248%) |
2.383 | % | 7/21/32 | 5,000,000 | 3,810,363 | (c) | ||||||||||
Goldman Sachs Group Inc., Senior Notes (2.650% to 10/21/31 then SOFR + 1.264%) |
2.650 | % | 10/21/32 | 4,920,000 | 3,799,780 | (c) | ||||||||||
Goldman Sachs Group Inc., Senior Notes (2.908% to 7/21/41 then SOFR + 1.472%) |
2.908 | % | 7/21/42 | 2,570,000 | 1,662,098 | (c) | ||||||||||
Goldman Sachs Group Inc., Senior Notes (3.210% to 4/22/41 then SOFR + 1.513%) |
3.210 | % | 4/22/42 | 1,120,000 | 760,038 | (c) | ||||||||||
Goldman Sachs Group Inc., Senior Notes (3.615% to 3/15/27 then SOFR + 1.846%) |
3.615 | % | 3/15/28 | 2,370,000 | 2,187,610 | (c) | ||||||||||
Goldman Sachs Group Inc., Senior Notes (3.691% to 6/5/27 then 3 mo. Term SOFR + 1.772%) |
3.691 | % | 6/5/28 | 8,956,000 | 8,258,240 | (c) | ||||||||||
Goldman Sachs Group Inc., Senior Notes (3.814% to 4/23/28 then 3 mo. Term SOFR + 1.420%) |
3.814 | % | 4/23/29 | 17,026,000 | 15,468,394 | (c) | ||||||||||
Goldman Sachs Group Inc., Senior Notes (4.223% to 5/1/28 then 3 mo. Term SOFR + 1.563%) |
4.223 | % | 5/1/29 | 31,995,000 | 29,608,168 | (c) | ||||||||||
Goldman Sachs Group Inc., Subordinated Notes |
4.250 | % | 10/21/25 | 6,394,000 | 6,163,250 | |||||||||||
Goldman Sachs Group Inc., Subordinated Notes |
6.750 | % | 10/1/37 | 3,045,000 | 3,086,205 | |||||||||||
Goldman Sachs Group Inc., Subordinated Notes |
5.150 | % | 5/22/45 | 18,411,000 | 15,800,570 | |||||||||||
Intercontinental Exchange Inc., Senior Notes |
4.600 | % | 3/15/33 | 2,500,000 | 2,298,928 |
See Notes to Schedule of Investments.
20 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Capital Markets - (continued) |
||||||||||||||||
Intercontinental Exchange Inc., Senior Notes |
4.950 | % | 6/15/52 | $ | 1,030,000 | $ | 896,546 | |||||||||
KKR Group Finance Co. II LLC, Senior Notes |
5.500 | % | 2/1/43 | 331,000 | 288,668 | (b) | ||||||||||
Morgan Stanley, Senior Notes (2.188% to 4/28/25 then SOFR + 1.990%) |
2.188 | % | 4/28/26 | 18,980,000 | 17,836,872 | (c) | ||||||||||
Morgan Stanley, Senior Notes (2.239% to 7/21/31 then SOFR + 1.178%) |
2.239 | % | 7/21/32 | 11,500,000 | 8,673,138 | (c) | ||||||||||
Morgan Stanley, Senior Notes (2.511% to 10/20/31 then SOFR + 1.200%) |
2.511 | % | 10/20/32 | 1,030,000 | 788,482 | (c) | ||||||||||
Morgan Stanley, Senior Notes (2.699% to 1/22/30 then SOFR + 1.143%) |
2.699 | % | 1/22/31 | 19,360,000 | 15,838,792 | (c) | ||||||||||
Morgan Stanley, Senior Notes (3.622% to 4/1/30 then SOFR + 3.120%) |
3.622 | % | 4/1/31 | 25,630,000 | 22,091,027 | (c) | ||||||||||
Morgan Stanley, Senior Notes (3.772% to 1/24/28 then 3 mo. Term SOFR + 1.402%) |
3.772 | % | 1/24/29 | 7,449,000 | 6,796,095 | (c) | ||||||||||
Morgan Stanley, Senior Notes (4.431% to 1/23/29 then 3 mo. Term SOFR + 1.890%) |
4.431 | % | 1/23/30 | 4,534,000 | 4,196,088 | (c) | ||||||||||
State Street Corp., Senior Notes |
3.300 | % | 12/16/24 | 1,048,000 | 1,016,387 | |||||||||||
UBS AG, Senior Notes |
4.500 | % | 6/26/48 | 3,599,000 | 2,991,102 | (b) | ||||||||||
UBS Group AG, Junior Subordinated Notes (7.000% to 1/31/24 then USD 5 year ICE Swap Rate + 4.344%) |
7.000 | % | 1/31/24 | 27,971,000 | 27,631,963 | (b)(c)(d) | ||||||||||
UBS Group AG, Senior Notes |
4.125 | % | 9/24/25 | 2,731,000 | 2,618,918 | (b) | ||||||||||
UBS Group AG, Senior Notes |
4.550 | % | 4/17/26 | 457,000 | 439,019 | |||||||||||
UBS Group AG, Senior Notes |
4.253 | % | 3/23/28 | 11,773,000 | 10,829,315 | (b) | ||||||||||
UBS Group AG, Senior Notes |
4.875 | % | 5/15/45 | 5,000,000 | 4,108,715 | |||||||||||
UBS Group AG, Senior Notes (1.305% to 2/2/26 then SOFR + 0.980%) |
1.305 | % | 2/2/27 | 15,930,000 | 14,166,676 | (b)(c) | ||||||||||
UBS Group AG, Senior Notes (2.593% to 9/11/24 then SOFR + 1.560%) |
2.593 | % | 9/11/25 | 1,997,000 | 1,922,777 | (b)(c) | ||||||||||
UBS Group AG, Senior Notes (2.746% to 2/11/32 then 1 year Treasury Constant Maturity Rate + 1.100%) |
2.746 | % | 2/11/33 | 4,200,000 | 3,177,672 | (b)(c) | ||||||||||
UBS Group AG, Senior Notes (3.091% to 5/14/31 then SOFR + 1.730%) |
3.091 | % | 5/14/32 | 14,200,000 | 11,224,437 | (b)(c) | ||||||||||
UBS Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%) |
4.194 | % | 4/1/31 | 18,006,000 | 15,731,869 | (b)(c) | ||||||||||
UBS Group AG, Senior Notes (4.488% to 5/12/25 then 1 year Treasury Constant Maturity Rate + 1.550%) |
4.488 | % | 5/12/26 | 4,690,000 | 4,544,067 | (b)(c) |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
21 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Capital Markets - (continued) |
||||||||||||||||
UBS Group AG, Senior Notes (4.751% to 5/12/27 then 1 year Treasury Constant Maturity Rate + 1.750%) |
4.751 | % | 5/12/28 | $ | 6,030,000 | $ | 5,699,968 | (b)(c) | ||||||||
UBS Group AG, Senior Notes (9.016% to 11/15/32 then SOFR + 5.020%) |
9.016 | % | 11/15/33 | 28,855,000 | 33,344,685 | (b)(c) | ||||||||||
|
|
|||||||||||||||
Total Capital Markets |
430,304,711 | |||||||||||||||
|
|
|||||||||||||||
Consumer Finance - 0.2% |
||||||||||||||||
American Express Co., Senior Notes |
3.375 | % | 5/3/24 | 7,640,000 | 7,523,409 | |||||||||||
American Express Co., Senior Notes |
2.500 | % | 7/30/24 | 20,670,000 | 20,108,109 | |||||||||||
American Express Co., Senior Notes |
4.050 | % | 5/3/29 | 7,290,000 | 6,788,699 | |||||||||||
|
|
|||||||||||||||
Total Consumer Finance |
34,420,217 | |||||||||||||||
|
|
|||||||||||||||
Financial Services - 0.7% |
||||||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
2.450 | % | 10/29/26 | 19,250,000 | 17,251,684 | |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
3.000 | % | 10/29/28 | 17,540,000 | 15,047,724 | |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
3.300 | % | 1/30/32 | 9,740,000 | 7,746,464 | |||||||||||
Berkshire Hathaway Energy Co., Senior Notes |
5.950 | % | 5/15/37 | 269,000 | 264,111 | |||||||||||
Berkshire Hathaway Finance Corp., Senior Notes |
4.250 | % | 1/15/49 | 7,344,000 | 6,026,798 | |||||||||||
ILFC E-Capital Trust II, Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury Constant Maturity Rate and 30 year Treasury Constant Maturity Rate) + 1.800%) |
7.459 | % | 12/21/65 | 3,743,000 | 2,832,416 | (b)(c) | ||||||||||
Mastercard Inc., Senior Notes |
3.375 | % | 4/1/24 | 832,000 | 821,570 | |||||||||||
Mastercard Inc., Senior Notes |
3.350 | % | 3/26/30 | 5,000,000 | 4,473,089 | |||||||||||
Mastercard Inc., Senior Notes |
3.850 | % | 3/26/50 | 15,550,000 | 11,990,449 | |||||||||||
National Securities Clearing Corp., Senior Notes |
1.500 | % | 4/23/25 | 3,810,000 | 3,576,782 | (b) | ||||||||||
PayPal Holdings Inc., Senior Notes |
1.650 | % | 6/1/25 | 5,950,000 | 5,570,135 | |||||||||||
PayPal Holdings Inc., Senior Notes |
2.300 | % | 6/1/30 | 3,250,000 | 2,658,611 | |||||||||||
PayPal Holdings Inc., Senior Notes |
4.400 | % | 6/1/32 | 3,210,000 | 2,968,857 | |||||||||||
USAA Capital Corp., Senior Notes |
2.125 | % | 5/1/30 | 650,000 | 523,428 | (b) | ||||||||||
Vanguard Group Inc. |
3.050 | % | 8/22/50 | 10,240,000 | 5,736,634 | |||||||||||
Visa Inc., Senior Notes |
3.150 | % | 12/14/25 | 2,917,000 | 2,785,167 | |||||||||||
Visa Inc., Senior Notes |
4.300 | % | 12/14/45 | 6,643,000 | 5,629,390 | |||||||||||
|
|
|||||||||||||||
Total Financial Services |
95,903,309 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
22 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Insurance - 0.2% |
||||||||||||||||
American International Group Inc., Senior Notes |
2.500 | % | 6/30/25 | $ | 2,554,000 | $ | 2,410,523 | |||||||||
Brighthouse Financial Inc., Senior Notes |
4.700 | % | 6/22/47 | 131,000 | 91,212 | |||||||||||
Chubb INA Holdings Inc., Senior Notes |
3.350 | % | 5/3/26 | 1,164,000 | 1,104,877 | |||||||||||
Guardian Life Global Funding, Secured Notes |
1.100 | % | 6/23/25 | 2,750,000 | 2,527,056 | (b) | ||||||||||
MetLife Inc., Junior Subordinated Notes |
6.400 | % | 12/15/36 | 6,365,000 | 6,227,417 | |||||||||||
New York Life Global Funding, Senior Secured Notes |
0.950 | % | 6/24/25 | 5,130,000 | 4,723,908 | (b) | ||||||||||
Principal Life Global Funding II, Secured Notes |
1.250 | % | 6/23/25 | 2,530,000 | 2,335,096 | (b) | ||||||||||
Teachers Insurance & Annuity Association of America, Subordinated Notes |
6.850 | % | 12/16/39 | 93,000 | 98,019 | (b) | ||||||||||
Teachers Insurance & Annuity Association of America, Subordinated Notes |
4.900 | % | 9/15/44 | 3,500,000 | 2,951,919 | (b) | ||||||||||
|
|
|||||||||||||||
Total Insurance |
22,470,027 | |||||||||||||||
|
|
|||||||||||||||
TOTAL FINANCIALS |
1,725,143,517 | |||||||||||||||
|
|
|||||||||||||||
HEALTH CARE - 2.7% | ||||||||||||||||
Biotechnology - 0.6% |
||||||||||||||||
AbbVie Inc., Senior Notes |
3.750 | % | 11/14/23 | 1,490,000 | 1,486,387 | |||||||||||
AbbVie Inc., Senior Notes |
2.600 | % | 11/21/24 | 26,060,000 | 25,132,474 | |||||||||||
AbbVie Inc., Senior Notes |
3.800 | % | 3/15/25 | 4,066,000 | 3,953,533 | |||||||||||
AbbVie Inc., Senior Notes |
3.600 | % | 5/14/25 | 2,194,000 | 2,121,428 | |||||||||||
AbbVie Inc., Senior Notes |
2.950 | % | 11/21/26 | 4,640,000 | 4,307,827 | |||||||||||
AbbVie Inc., Senior Notes |
3.200 | % | 11/21/29 | 36,490,000 | 32,219,337 | |||||||||||
AbbVie Inc., Senior Notes |
4.550 | % | 3/15/35 | 233,000 | 212,027 | |||||||||||
AbbVie Inc., Senior Notes |
4.875 | % | 11/14/48 | 1,160,000 | 1,015,089 | |||||||||||
AbbVie Inc., Senior Notes |
4.250 | % | 11/21/49 | 14,509,000 | 11,497,135 | |||||||||||
Gilead Sciences Inc., Senior Notes |
3.700 | % | 4/1/24 | 1,460,000 | 1,444,328 | |||||||||||
Gilead Sciences Inc., Senior Notes |
3.650 | % | 3/1/26 | 1,711,000 | 1,638,559 | |||||||||||
Gilead Sciences Inc., Senior Notes |
4.500 | % | 2/1/45 | 716,000 | 597,214 | |||||||||||
Gilead Sciences Inc., Senior Notes |
4.750 | % | 3/1/46 | 3,967,000 | 3,401,213 | |||||||||||
|
|
|||||||||||||||
Total Biotechnology |
89,026,551 | |||||||||||||||
|
|
|||||||||||||||
Health Care Equipment & Supplies - 0.1% |
||||||||||||||||
Abbott Laboratories, Senior Notes |
4.750 | % | 11/30/36 | 1,836,000 | 1,746,056 | |||||||||||
Abbott Laboratories, Senior Notes |
4.900 | % | 11/30/46 | 3,681,000 | 3,355,532 | |||||||||||
Becton Dickinson & Co., Senior Notes |
3.363 | % | 6/6/24 | 2,910,000 | 2,859,218 | |||||||||||
Becton Dickinson & Co., Senior Notes |
3.734 | % | 12/15/24 | 336,000 | 327,850 | |||||||||||
Becton Dickinson & Co., Senior Notes |
4.685 | % | 12/15/44 | 1,234,000 | 1,038,394 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
23 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Health Care Equipment & Supplies - (continued) |
||||||||||||||||
Medtronic Inc., Senior Notes |
4.625 | % | 3/15/45 | $ | 410,000 | $ | 360,107 | |||||||||
Roche Holdings Inc., Senior Notes |
2.607 | % | 12/13/51 | 10,640,000 | 6,371,856 | (b) | ||||||||||
|
|
|||||||||||||||
Total Health Care Equipment & Supplies |
16,059,013 | |||||||||||||||
|
|
|||||||||||||||
Health Care Providers & Services - 1.5% |
||||||||||||||||
Aetna Inc., Senior Notes |
3.875 | % | 8/15/47 | 2,006,000 | 1,407,316 | |||||||||||
Cigna Group, Senior Notes |
4.125 | % | 11/15/25 | 2,499,000 | 2,420,317 | |||||||||||
Cigna Group, Senior Notes |
4.375 | % | 10/15/28 | 25,372,000 | 24,014,423 | |||||||||||
Cigna Group, Senior Notes |
4.800 | % | 8/15/38 | 10,930,000 | 9,636,374 | |||||||||||
Cigna Group, Senior Notes |
4.900 | % | 12/15/48 | 4,290,000 | 3,619,198 | |||||||||||
CommonSpirit Health, Secured Notes |
4.350 | % | 11/1/42 | 358,000 | 287,866 | |||||||||||
CVS Health Corp., Senior Notes |
3.875 | % | 7/20/25 | 4,600,000 | 4,446,338 | |||||||||||
CVS Health Corp., Senior Notes |
3.625 | % | 4/1/27 | 2,780,000 | 2,598,652 | |||||||||||
CVS Health Corp., Senior Notes |
4.300 | % | 3/25/28 | 9,572,000 | 9,061,925 | |||||||||||
CVS Health Corp., Senior Notes |
3.750 | % | 4/1/30 | 11,300,000 | 9,992,817 | |||||||||||
CVS Health Corp., Senior Notes |
1.875 | % | 2/28/31 | 1,910,000 | 1,457,726 | |||||||||||
CVS Health Corp., Senior Notes |
2.125 | % | 9/15/31 | 6,670,000 | 5,104,444 | |||||||||||
CVS Health Corp., Senior Notes |
4.780 | % | 3/25/38 | 17,470,000 | 15,052,973 | |||||||||||
CVS Health Corp., Senior Notes |
4.125 | % | 4/1/40 | 2,200,000 | 1,711,443 | |||||||||||
CVS Health Corp., Senior Notes |
5.125 | % | 7/20/45 | 5,194,000 | 4,375,062 | |||||||||||
CVS Health Corp., Senior Notes |
5.050 | % | 3/25/48 | 17,778,000 | 14,784,187 | |||||||||||
CVS Health Corp., Senior Notes |
4.250 | % | 4/1/50 | 4,150,000 | 3,074,600 | |||||||||||
CVS Pass-Through Trust, Secured Trust |
6.943 | % | 1/10/30 | 284,412 | 284,824 | |||||||||||
CVS Pass-Through Trust, Senior Secured Trust |
6.036 | % | 12/10/28 | 3,064,837 | 3,033,316 | |||||||||||
Elevance Health Inc., Senior Notes |
3.350 | % | 12/1/24 | 1,791,000 | 1,738,922 | |||||||||||
Elevance Health Inc., Senior Notes |
3.650 | % | 12/1/27 | 7,067,000 | 6,554,409 | |||||||||||
Elevance Health Inc., Senior Notes |
4.100 | % | 5/15/32 | 5,510,000 | 4,911,018 | |||||||||||
Elevance Health Inc., Senior Notes |
4.550 | % | 5/15/52 | 2,270,000 | 1,839,515 | |||||||||||
Humana Inc., Senior Notes |
4.500 | % | 4/1/25 | 1,180,000 | 1,159,050 | |||||||||||
Humana Inc., Senior Notes |
3.950 | % | 3/15/27 | 3,726,000 | 3,536,578 | |||||||||||
Humana Inc., Senior Notes |
3.700 | % | 3/23/29 | 15,270,000 | 13,936,488 | |||||||||||
Humana Inc., Senior Notes |
3.125 | % | 8/15/29 | 12,000,000 | 10,503,696 | |||||||||||
Humana Inc., Senior Notes |
2.150 | % | 2/3/32 | 2,330,000 | 1,761,926 | |||||||||||
Humana Inc., Senior Notes |
4.625 | % | 12/1/42 | 779,000 | 637,593 | |||||||||||
Humana Inc., Senior Notes |
4.800 | % | 3/15/47 | 242,000 | 201,823 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
1.250 | % | 1/15/26 | 2,390,000 | 2,178,415 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
3.875 | % | 12/15/28 | 830,000 | 779,970 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
4.000 | % | 5/15/29 | 10,630,000 | 9,953,612 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
2.000 | % | 5/15/30 | 5,320,000 | 4,310,422 |
See Notes to Schedule of Investments.
24 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Health Care Providers & Services - (continued) |
||||||||||||||||
UnitedHealth Group Inc., Senior Notes |
2.300 | % | 5/15/31 | $ | 1,380,000 | $ | 1,115,718 | |||||||||
UnitedHealth Group Inc., Senior Notes |
4.200 | % | 5/15/32 | 4,810,000 | 4,391,738 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
5.350 | % | 2/15/33 | 3,000,000 | 2,969,267 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
5.800 | % | 3/15/36 | 582,000 | 590,583 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
2.750 | % | 5/15/40 | 5,230,000 | 3,557,686 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
5.700 | % | 10/15/40 | 1,576,000 | 1,550,892 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
4.250 | % | 6/15/48 | 1,640,000 | 1,311,546 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
4.450 | % | 12/15/48 | 2,460,000 | 2,034,562 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
3.700 | % | 8/15/49 | 4,227,000 | 3,048,916 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
2.900 | % | 5/15/50 | 6,550,000 | 4,028,593 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
3.250 | % | 5/15/51 | 1,437,000 | 945,824 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
3.875 | % | 8/15/59 | 6,499,000 | 4,634,002 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
3.125 | % | 5/15/60 | 770,000 | 467,320 | |||||||||||
|
|
|||||||||||||||
Total Health Care Providers & Services |
211,013,885 | |||||||||||||||
|
|
|||||||||||||||
Pharmaceuticals - 0.5% |
||||||||||||||||
Bristol-Myers Squibb Co., Senior Notes |
2.900 | % | 7/26/24 | 10,189,000 | 9,961,689 | |||||||||||
Bristol-Myers Squibb Co., Senior Notes |
3.200 | % | 6/15/26 | 4,790,000 | 4,545,539 | |||||||||||
Bristol-Myers Squibb Co., Senior Notes |
3.400 | % | 7/26/29 | 5,309,000 | 4,812,712 | |||||||||||
Bristol-Myers Squibb Co., Senior Notes |
4.550 | % | 2/20/48 | 2,329,000 | 1,945,768 | |||||||||||
Johnson & Johnson, Senior Notes |
2.100 | % | 9/1/40 | 11,300,000 | 7,240,256 | |||||||||||
Johnson & Johnson, Senior Notes |
3.700 | % | 3/1/46 | 2,946,000 | 2,297,258 | |||||||||||
Merck & Co. Inc., Senior Notes |
1.450 | % | 6/24/30 | 4,380,000 | 3,434,089 | |||||||||||
Merck & Co. Inc., Senior Notes |
2.750 | % | 12/10/51 | 10,630,000 | 6,428,724 | |||||||||||
Pfizer Inc., Senior Notes |
2.625 | % | 4/1/30 | 6,980,000 | 5,964,676 | |||||||||||
Pfizer Inc., Senior Notes |
1.700 | % | 5/28/30 | 6,200,000 | 4,974,342 | |||||||||||
Pfizer Inc., Senior Notes |
2.550 | % | 5/28/40 | 5,380,000 | 3,622,338 | |||||||||||
Pfizer Inc., Senior Notes |
2.700 | % | 5/28/50 | 13,495,000 | 8,460,360 | |||||||||||
Pfizer Investment Enterprises Pte Ltd., Senior Notes |
4.750 | % | 5/19/33 | 1,980,000 | 1,872,444 | |||||||||||
Wyeth LLC, Senior Notes |
5.950 | % | 4/1/37 | 1,245,000 | 1,280,400 | |||||||||||
|
|
|||||||||||||||
Total Pharmaceuticals |
66,840,595 | |||||||||||||||
|
|
|||||||||||||||
TOTAL HEALTH CARE |
382,940,044 | |||||||||||||||
|
|
|||||||||||||||
INDUSTRIALS - 2.6% | ||||||||||||||||
Aerospace & Defense - 1.5% |
||||||||||||||||
Boeing Co., Senior Notes |
1.433 | % | 2/4/24 | 9,470,000 | 9,320,349 | |||||||||||
Boeing Co., Senior Notes |
4.875 | % | 5/1/25 | 24,660,000 | 24,240,275 | |||||||||||
Boeing Co., Senior Notes |
3.100 | % | 5/1/26 | 1,379,000 | 1,288,286 | |||||||||||
Boeing Co., Senior Notes |
2.700 | % | 2/1/27 | 2,588,000 | 2,344,826 | |||||||||||
Boeing Co., Senior Notes |
2.800 | % | 3/1/27 | 1,791,000 | 1,622,211 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
25 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Aerospace & Defense - (continued) |
||||||||||||||||
Boeing Co., Senior Notes |
3.200 | % | 3/1/29 | $ | 5,382,000 | $ | 4,730,066 | |||||||||
Boeing Co., Senior Notes |
5.150 | % | 5/1/30 | 16,070,000 | 15,359,866 | |||||||||||
Boeing Co., Senior Notes |
3.250 | % | 2/1/35 | 19,527,000 | 15,028,375 | |||||||||||
Boeing Co., Senior Notes |
5.875 | % | 2/15/40 | 448,000 | 424,052 | |||||||||||
Boeing Co., Senior Notes |
5.705 | % | 5/1/40 | 11,790,000 | 10,885,985 | |||||||||||
Boeing Co., Senior Notes |
3.750 | % | 2/1/50 | 4,633,000 | 3,152,704 | |||||||||||
Boeing Co., Senior Notes |
5.805 | % | 5/1/50 | 22,830,000 | 20,692,431 | |||||||||||
Boeing Co., Senior Notes |
5.930 | % | 5/1/60 | 7,490,000 | 6,734,603 | |||||||||||
General Dynamics Corp., Senior Notes |
4.250 | % | 4/1/40 | 680,000 | 578,284 | |||||||||||
General Dynamics Corp., Senior Notes |
4.250 | % | 4/1/50 | 2,670,000 | 2,197,189 | |||||||||||
L3Harris Technologies Inc., Senior Notes |
4.854 | % | 4/27/35 | 1,730,000 | 1,576,855 | |||||||||||
L3Harris Technologies Inc., Senior Notes |
5.054 | % | 4/27/45 | 271,000 | 236,355 | |||||||||||
Lockheed Martin Corp., Senior Notes |
3.900 | % | 6/15/32 | 3,850,000 | 3,455,018 | |||||||||||
Lockheed Martin Corp., Senior Notes |
4.500 | % | 5/15/36 | 550,000 | 502,007 | |||||||||||
Lockheed Martin Corp., Senior Notes |
4.150 | % | 6/15/53 | 18,680,000 | 14,761,632 | |||||||||||
Northrop Grumman Corp., Senior Notes |
2.930 | % | 1/15/25 | 11,159,000 | 10,764,696 | |||||||||||
Northrop Grumman Corp., Senior Notes |
3.250 | % | 1/15/28 | 2,964,000 | 2,720,081 | |||||||||||
Northrop Grumman Corp., Senior Notes |
5.250 | % | 5/1/50 | 37,500,000 | 34,645,545 | |||||||||||
RTX Corp., Senior Notes |
3.150 | % | 12/15/24 | 2,960,000 | 2,866,422 | |||||||||||
RTX Corp., Senior Notes |
3.950 | % | 8/16/25 | 5,920,000 | 5,731,050 | |||||||||||
RTX Corp., Senior Notes |
4.125 | % | 11/16/28 | 3,300,000 | 3,079,309 | |||||||||||
RTX Corp., Senior Notes |
2.250 | % | 7/1/30 | 6,940,000 | 5,589,360 | |||||||||||
RTX Corp., Senior Notes |
4.500 | % | 6/1/42 | 833,000 | 682,407 | |||||||||||
RTX Corp., Senior Notes |
4.150 | % | 5/15/45 | 5,000,000 | 3,792,516 | |||||||||||
RTX Corp., Senior Notes |
3.125 | % | 7/1/50 | 12,950,000 | 8,067,174 | |||||||||||
|
|
|||||||||||||||
Total Aerospace & Defense |
217,069,929 | |||||||||||||||
|
|
|||||||||||||||
Air Freight & Logistics - 0.3% |
||||||||||||||||
DP World Ltd., Senior Notes |
5.625 | % | 9/25/48 | 29,339,000 | 26,091,173 | (b) | ||||||||||
DP World Ltd., Senior Notes |
4.700 | % | 9/30/49 | 13,370,000 | 10,547,927 | (e) | ||||||||||
|
|
|||||||||||||||
Total Air Freight & Logistics |
36,639,100 | |||||||||||||||
|
|
|||||||||||||||
Building Products - 0.0% |
||||||||||||||||
Carrier Global Corp., Senior Notes |
2.700 | % | 2/15/31 | 410,000 | 332,654 | |||||||||||
Carrier Global Corp., Senior Notes |
3.577 | % | 4/5/50 | 650,000 | 439,286 | |||||||||||
|
|
|||||||||||||||
Total Building Products |
771,940 | |||||||||||||||
|
|
|||||||||||||||
Commercial Services & Supplies - 0.1% |
||||||||||||||||
Cintas Corp. No 2, Senior Notes |
3.700 | % | 4/1/27 | 3,188,000 | 3,024,648 | |||||||||||
Cintas Corp. No 2, Senior Notes |
4.000 | % | 5/1/32 | 3,440,000 | 3,104,776 | |||||||||||
Republic Services Inc., Senior Notes |
2.500 | % | 8/15/24 | 3,645,000 | 3,541,517 | |||||||||||
|
|
|||||||||||||||
Total Commercial Services & Supplies |
9,670,941 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
26 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Electrical Equipment - 0.1% |
||||||||||||||||
Eaton Corp., Senior Notes |
4.150 | % | 11/2/42 | $ | 2,524,000 | $ | 2,056,850 | |||||||||
Emerson Electric Co., Senior Notes |
2.800 | % | 12/21/51 | 23,020,000 | 13,987,246 | |||||||||||
|
|
|||||||||||||||
Total Electrical Equipment |
16,044,096 | |||||||||||||||
|
|
|||||||||||||||
Ground Transportation - 0.1% |
||||||||||||||||
Burlington Northern Santa Fe LLC, Senior Notes |
2.875 | % | 6/15/52 | 1,160,000 | 715,282 | |||||||||||
Union Pacific Corp., Senior Notes |
3.750 | % | 7/15/25 | 2,257,000 | 2,187,292 | |||||||||||
Union Pacific Corp., Senior Notes |
2.150 | % | 2/5/27 | 4,460,000 | 4,029,782 | |||||||||||
Union Pacific Corp., Senior Notes |
2.400 | % | 2/5/30 | 6,530,000 | 5,469,123 | |||||||||||
Union Pacific Corp., Senior Notes |
2.891 | % | 4/6/36 | 170,000 | 128,915 | |||||||||||
Union Pacific Corp., Senior Notes |
3.839 | % | 3/20/60 | 2,990,000 | 2,101,955 | |||||||||||
Union Pacific Corp., Senior Notes |
3.750 | % | 2/5/70 | 6,680,000 | 4,481,698 | |||||||||||
|
|
|||||||||||||||
Total Ground Transportation |
19,114,047 | |||||||||||||||
|
|
|||||||||||||||
Industrial Conglomerates - 0.1% |
||||||||||||||||
3M Co., Senior Notes |
2.375 | % | 8/26/29 | 16,538,000 | 13,841,678 | |||||||||||
3M Co., Senior Notes |
3.050 | % | 4/15/30 | 771,000 | 667,123 | |||||||||||
3M Co., Senior Notes |
3.700 | % | 4/15/50 | 3,520,000 | 2,514,797 | |||||||||||
|
|
|||||||||||||||
Total Industrial Conglomerates |
17,023,598 | |||||||||||||||
|
|
|||||||||||||||
Machinery - 0.1% |
||||||||||||||||
Deere & Co., Senior Notes |
3.100 | % | 4/15/30 | 1,840,000 | 1,619,329 | |||||||||||
Deere & Co., Senior Notes |
3.750 | % | 4/15/50 | 12,660,000 | 10,020,598 | |||||||||||
Otis Worldwide Corp., Senior Notes |
2.056 | % | 4/5/25 | 2,960,000 | 2,795,591 | |||||||||||
|
|
|||||||||||||||
Total Machinery |
14,435,518 | |||||||||||||||
|
|
|||||||||||||||
Passenger Airlines - 0.2% |
||||||||||||||||
Delta Air Lines Inc., Senior Notes |
2.900 | % | 10/28/24 | 1,440,000 | 1,385,307 | |||||||||||
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes |
4.500 | % | 10/20/25 | 8,836,000 | 8,585,805 | (b) | ||||||||||
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes |
4.750 | % | 10/20/28 | 11,290,000 | 10,733,540 | (b) | ||||||||||
|
|
|||||||||||||||
Total Passenger Airlines |
20,704,652 | |||||||||||||||
|
|
|||||||||||||||
Trading Companies & Distributors - 0.1% |
||||||||||||||||
Air Lease Corp., Senior Notes |
3.375 | % | 7/1/25 | 4,630,000 | 4,400,772 | |||||||||||
Air Lease Corp., Senior Notes |
5.300 | % | 2/1/28 | 7,240,000 | 6,999,566 | |||||||||||
|
|
|||||||||||||||
Total Trading Companies & Distributors |
11,400,338 | |||||||||||||||
|
|
|||||||||||||||
TOTAL INDUSTRIALS |
362,874,159 | |||||||||||||||
|
|
|||||||||||||||
INFORMATION TECHNOLOGY - 1.9% | ||||||||||||||||
IT Services - 0.1% |
||||||||||||||||
International Business Machines Corp., |
||||||||||||||||
Senior Notes |
3.000 | % | 5/15/24 | 16,559,000 | 16,280,879 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
27 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Semiconductors & Semiconductor Equipment - 1.0% |
||||||||||||||||
Applied Materials Inc., Senior Notes |
1.750 | % | 6/1/30 | $ | 8,600,000 | $ | 6,884,621 | |||||||||
Broadcom Inc., Senior Notes |
4.150 | % | 11/15/30 | 2,012,000 | 1,782,931 | |||||||||||
Broadcom Inc., Senior Notes |
3.137 | % | 11/15/35 | 28,260,000 | 20,613,593 | (b) | ||||||||||
Broadcom Inc., Senior Notes |
3.187 | % | 11/15/36 | 257,000 | 184,626 | (b) | ||||||||||
Broadcom Inc., Senior Notes |
4.926 | % | 5/15/37 | 2,725,000 | 2,350,139 | (b) | ||||||||||
Intel Corp., Senior Notes |
3.700 | % | 7/29/25 | 851,000 | 824,087 | |||||||||||
Intel Corp., Senior Notes |
1.600 | % | 8/12/28 | 5,520,000 | 4,670,501 | |||||||||||
Intel Corp., Senior Notes |
5.125 | % | 2/10/30 | 5,220,000 | 5,124,962 | |||||||||||
Intel Corp., Senior Notes |
5.200 | % | 2/10/33 | 5,350,000 | 5,182,787 | |||||||||||
Intel Corp., Senior Notes |
4.750 | % | 3/25/50 | 6,335,000 | 5,243,591 | |||||||||||
Intel Corp., Senior Notes |
3.050 | % | 8/12/51 | 2,710,000 | 1,649,910 | |||||||||||
KLA Corp., Senior Notes |
4.650 | % | 7/15/32 | 5,520,000 | 5,233,932 | |||||||||||
Micron Technology Inc., Senior Notes |
5.875 | % | 2/9/33 | 3,120,000 | 2,982,885 | |||||||||||
NVIDIA Corp., Senior Notes |
2.850 | % | 4/1/30 | 760,000 | 663,473 | |||||||||||
NVIDIA Corp., Senior Notes |
3.500 | % | 4/1/40 | 8,680,000 | 6,839,427 | |||||||||||
NVIDIA Corp., Senior Notes |
3.500 | % | 4/1/50 | 13,177,000 | 9,612,590 | |||||||||||
NVIDIA Corp., Senior Notes |
3.700 | % | 4/1/60 | 6,630,000 | 4,862,762 | |||||||||||
NXP BV/NXP Funding LLC/NXP USA Inc., Senior Notes |
2.700 | % | 5/1/25 | 4,090,000 | 3,885,922 | |||||||||||
Texas Instruments Inc., Senior Notes |
2.250 | % | 9/4/29 | 9,000 | 7,674 | |||||||||||
Texas Instruments Inc., Senior Notes |
1.750 | % | 5/4/30 | 4,150,000 | 3,361,308 | |||||||||||
Texas Instruments Inc., Senior Notes |
3.875 | % | 3/15/39 | 5,340,000 | 4,416,370 | |||||||||||
Texas Instruments Inc., Senior Notes |
4.150 | % | 5/15/48 | 6,484,000 | 5,233,935 | |||||||||||
TSMC Arizona Corp., Senior Notes |
1.750 | % | 10/25/26 | 7,100,000 | 6,372,096 | |||||||||||
TSMC Arizona Corp., Senior Notes |
2.500 | % | 10/25/31 | 41,490,000 | 33,431,241 | (a) | ||||||||||
|
|
|||||||||||||||
Total Semiconductors & Semiconductor Equipment |
141,415,363 | |||||||||||||||
|
|
|||||||||||||||
Software - 0.7% |
||||||||||||||||
Adobe Inc., Senior Notes |
2.300 | % | 2/1/30 | 8,650,000 | 7,285,188 | |||||||||||
Microsoft Corp., Senior Notes |
2.875 | % | 2/6/24 | 6,985,000 | 6,919,553 | |||||||||||
Microsoft Corp., Senior Notes |
2.700 | % | 2/12/25 | 1,943,000 | 1,876,639 | |||||||||||
Microsoft Corp., Senior Notes |
3.125 | % | 11/3/25 | 8,660,000 | 8,299,414 | |||||||||||
Microsoft Corp., Senior Notes |
3.300 | % | 2/6/27 | 11,380,000 | 10,803,014 | |||||||||||
Microsoft Corp., Senior Notes |
3.450 | % | 8/8/36 | 111,000 | 93,686 | |||||||||||
Microsoft Corp., Senior Notes |
2.525 | % | 6/1/50 | 5,016,000 | 3,057,386 | |||||||||||
Microsoft Corp., Senior Notes |
2.921 | % | 3/17/52 | 3,031,000 | 1,990,101 | |||||||||||
Microsoft Corp., Senior Notes |
3.041 | % | 3/17/62 | 888,000 | 562,873 | |||||||||||
Oracle Corp., Senior Notes |
1.650 | % | 3/25/26 | 16,160,000 | 14,641,755 | |||||||||||
Oracle Corp., Senior Notes |
2.950 | % | 4/1/30 | 1,370,000 | 1,153,391 | |||||||||||
Oracle Corp., Senior Notes |
4.650 | % | 5/6/30 | 7,230,000 | 6,765,114 |
See Notes to Schedule of Investments.
28 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Software - (continued) |
||||||||||||||||
Oracle Corp., Senior Notes |
2.875 | % | 3/25/31 | $ | 25,910,000 | $ | 21,175,472 | |||||||||
Salesforce Inc., Senior Notes |
3.700 | % | 4/11/28 | 9,212,000 | 8,696,294 | |||||||||||
|
|
|||||||||||||||
Total Software |
93,319,880 | |||||||||||||||
|
|
|||||||||||||||
Technology Hardware, Storage & Peripherals - 0.1% |
||||||||||||||||
Apple Inc., Senior Notes |
2.450 | % | 8/4/26 | 9,994,000 | 9,287,694 | |||||||||||
Apple Inc., Senior Notes |
3.850 | % | 8/4/46 | 4,111,000 | 3,257,093 | |||||||||||
|
|
|||||||||||||||
Total Technology Hardware, Storage & Peripherals |
12,544,787 | |||||||||||||||
|
|
|||||||||||||||
TOTAL INFORMATION TECHNOLOGY |
263,560,909 | |||||||||||||||
|
|
|||||||||||||||
MATERIALS - 2.1% | ||||||||||||||||
Chemicals - 0.5% |
||||||||||||||||
MEGlobal BV, Senior Notes |
4.250 | % | 11/3/26 | 17,321,000 | 16,478,333 | (b) | ||||||||||
MEGlobal BV, Senior Notes |
2.625 | % | 4/28/28 | 28,240,000 | 24,459,031 | (b) | ||||||||||
OCP SA, Senior Notes |
4.500 | % | 10/22/25 | 4,836,000 | 4,665,662 | (b) | ||||||||||
Orbia Advance Corp. SAB de CV, Senior Notes |
1.875 | % | 5/11/26 | 14,240,000 | 12,709,327 | (b) | ||||||||||
Orbia Advance Corp. SAB de CV, Senior Notes |
2.875 | % | 5/11/31 | 13,500,000 | 10,516,758 | (b) | ||||||||||
|
|
|||||||||||||||
Total Chemicals |
68,829,111 | |||||||||||||||
|
|
|||||||||||||||
Metals & Mining - 1.3% |
||||||||||||||||
Anglo American Capital PLC, Senior Notes |
3.625 | % | 9/11/24 | 9,018,000 | 8,801,179 | (b) | ||||||||||
Anglo American Capital PLC, Senior Notes |
4.750 | % | 4/10/27 | 5,355,000 | 5,135,329 | (b) | ||||||||||
Anglo American Capital PLC, Senior Notes |
4.000 | % | 9/11/27 | 2,212,000 | 2,067,070 | (b) | ||||||||||
Barrick North America Finance LLC, Senior Notes |
5.700 | % | 5/30/41 | 752,000 | 721,557 | |||||||||||
Barrick PD Australia Finance Pty Ltd., Senior Notes |
5.950 | % | 10/15/39 | 8,508,000 | 8,383,997 | |||||||||||
BHP Billiton Finance USA Ltd., Senior Notes |
5.000 | % | 9/30/43 | 7,863,000 | 7,105,215 | |||||||||||
Corp. Nacional del Cobre de Chile, Senior Notes |
3.625 | % | 8/1/27 | 14,665,000 | 13,513,203 | (b) | ||||||||||
Corp. Nacional del Cobre de Chile, Senior Notes |
3.700 | % | 1/30/50 | 34,500,000 | 22,484,686 | (b) | ||||||||||
Freeport-McMoRan Inc., Senior Notes |
5.400 | % | 11/14/34 | 2,894,000 | 2,652,723 | |||||||||||
Freeport-McMoRan Inc., Senior Notes |
5.450 | % | 3/15/43 | 3,000,000 | 2,561,701 | |||||||||||
Glencore Funding LLC, Senior Notes |
4.125 | % | 3/12/24 | 12,140,000 | 12,037,631 | (b) | ||||||||||
Glencore Funding LLC, Senior Notes |
4.000 | % | 3/27/27 | 6,017,000 | 5,651,775 | (b) | ||||||||||
Glencore Funding LLC, Senior Notes |
3.875 | % | 10/27/27 | 2,155,000 | 2,006,991 | (b) | ||||||||||
Southern Copper Corp., Senior Notes |
5.250 | % | 11/8/42 | 37,038,000 | 32,053,370 | |||||||||||
Southern Copper Corp., Senior Notes |
5.875 | % | 4/23/45 | 5,846,000 | 5,446,031 | |||||||||||
Vale Overseas Ltd., Senior Notes |
6.250 | % | 8/10/26 | 36,297,000 | 36,936,372 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
29 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Metals & Mining - (continued) |
||||||||||||||||
Vale Overseas Ltd., Senior Notes |
6.875 | % | 11/21/36 | $ | 6,708,000 | $ | 6,755,365 | |||||||||
Vale Overseas Ltd., Senior Notes |
6.875 | % | 11/10/39 | 5,508,000 | 5,518,361 | |||||||||||
|
|
|||||||||||||||
Total Metals & Mining |
179,832,556 | |||||||||||||||
|
|
|||||||||||||||
Paper & Forest Products - 0.3% |
||||||||||||||||
Suzano Austria GmbH, Senior Notes |
6.000 | % | 1/15/29 | 49,955,000 | 48,649,831 | |||||||||||
|
|
|||||||||||||||
TOTAL MATERIALS |
297,311,498 | |||||||||||||||
|
|
|||||||||||||||
REAL ESTATE - 0.0% | ||||||||||||||||
Retail REITs - 0.0% |
||||||||||||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC, Senior Notes |
3.750 | % | 9/17/24 | 3,923,000 | 3,774,747 | (b) | ||||||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC, Senior Notes |
4.750 | % | 9/17/44 | 1,433,000 | 918,960 | (b) | ||||||||||
|
|
|||||||||||||||
TOTAL REAL ESTATE |
4,693,707 | |||||||||||||||
|
|
|||||||||||||||
UTILITIES - 0.8% | ||||||||||||||||
Electric Utilities - 0.8% |
||||||||||||||||
American Transmission Systems Inc., Senior Notes |
2.650 | % | 1/15/32 | 7,500,000 | 5,935,815 | (b) | ||||||||||
Cleveland Electric Illuminating Co., Senior Notes |
3.500 | % | 4/1/28 | 1,415,000 | 1,283,456 | (b) | ||||||||||
Comision Federal de Electricidad, Senior Notes |
3.348 | % | 2/9/31 | 10,000,000 | 7,838,531 | (b) | ||||||||||
Comision Federal de Electricidad, Senior Notes |
3.875 | % | 7/26/33 | 20,305,000 | 15,411,351 | (b) | ||||||||||
Duke Energy Corp., Senior Notes |
3.150 | % | 8/15/27 | 3,979,000 | 3,628,621 | |||||||||||
Exelon Corp., Senior Notes |
5.625 | % | 6/15/35 | 1,984,000 | 1,911,933 | |||||||||||
FirstEnergy Corp., Senior Notes |
1.600 | % | 1/15/26 | 2,770,000 | 2,493,662 | |||||||||||
FirstEnergy Corp., Senior Notes |
4.150 | % | 7/15/27 | 15,102,000 | 14,049,778 | |||||||||||
FirstEnergy Corp., Senior Notes |
5.100 | % | 7/15/47 | 1,970,000 | 1,674,210 | |||||||||||
MidAmerican Energy Co., First Mortgage Bonds |
3.650 | % | 4/15/29 | 7,557,000 | 6,911,762 | |||||||||||
Mid-Atlantic Interstate Transmission LLC, Senior Notes |
4.100 | % | 5/15/28 | 1,594,000 | 1,484,985 | (b) | ||||||||||
Pacific Gas and Electric Co., First Mortgage Bonds |
2.100 | % | 8/1/27 | 3,160,000 | 2,703,943 | |||||||||||
Pacific Gas and Electric Co., First Mortgage Bonds |
2.500 | % | 2/1/31 | 4,100,000 | 3,122,153 | |||||||||||
Pacific Gas and Electric Co., First Mortgage Bonds |
3.300 | % | 8/1/40 | 830,000 | 532,445 | |||||||||||
Pacific Gas and Electric Co., First Mortgage Bonds |
3.500 | % | 8/1/50 | 4,180,000 | 2,493,330 |
See Notes to Schedule of Investments.
30 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | |
MATURITY DATE |
|
|
FACE AMOUNT |
|
VALUE | ||||||||
Electric Utilities - (continued) |
||||||||||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Senior Notes |
4.125 | % | 5/15/27 | $ | 4,743,000 | $ | 4,464,349 | (b) | ||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Senior Notes |
5.450 | % | 5/21/28 | 6,672,000 | 6,517,975 | (b) | ||||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Senior Notes |
5.250 | % | 10/24/42 | 18,734,000 | 15,274,205 | (e) | ||||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, Senior Notes |
6.150 | % | 5/21/48 | 15,426,000 | 13,681,359 | (b) | ||||||||||
SCE Recovery Funding LLC, Senior Secured Notes |
2.943 | % | 11/15/42 | 6,330,000 | 4,776,722 | |||||||||||
Southern California Edison Co., First Mortgage Bonds |
4.125 | % | 3/1/48 | 2,000,000 | 1,484,375 | |||||||||||
|
|
|||||||||||||||
Total Electric Utilities |
117,674,960 | |||||||||||||||
|
|
|||||||||||||||
Multi-Utilities - 0.0% |
||||||||||||||||
Consolidated Edison Co. of New York Inc., Senior Notes |
3.350 | % | 4/1/30 | 2,680,000 | 2,355,244 | |||||||||||
Consolidated Edison Co. of New York Inc., Senior Notes |
3.950 | % | 4/1/50 | 1,880,000 | 1,391,904 | |||||||||||
|
|
|||||||||||||||
Total Multi-Utilities |
3,747,148 | |||||||||||||||
|
|
|||||||||||||||
TOTAL UTILITIES |
121,422,108 | |||||||||||||||
|
|
|||||||||||||||
TOTAL CORPORATE BONDS & NOTES (Cost - $6,014,277,755) |
5,079,934,164 | |||||||||||||||
|
|
|||||||||||||||
MORTGAGE-BACKED SECURITIES - 35.5% | ||||||||||||||||
FHLMC - 9.7% |
||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
4.600 | % | 2/1/30 | 5,200,000 | 4,943,244 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
4.000 | % | 9/1/32-2/1/53 | 153,258,826 | 138,372,529 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
6.000 | % | 10/1/36-3/1/53 | 15,836,592 | 15,678,086 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
3.500 | % | 1/1/38-6/1/52 | 97,661,091 | 84,887,382 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
5.000 | % | 3/1/38-6/1/53 | 65,587,429 | 62,050,529 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
2.000 | % | 10/1/40-2/1/52 | 434,084,963 | 339,174,626 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
1.500 | % | 11/1/40-2/1/51 | 106,341,384 | 81,764,415 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
2.500 | % | 4/1/41-4/1/52 | 298,075,447 | 239,569,565 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
31 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
FHLMC - (continued) |
||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
3.000 | % | 5/1/42- 4/1/52 | $ | 126,816,646 | $ | 106,386,014 | |||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
4.500 | % | 3/1/47-12/1/52 | 58,891,251 | 54,359,566 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
5.500 | % | 12/1/52-7/1/53 | 70,308,879 | 68,114,860 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
6.500 | % | 1/1/53- 5/1/53 | 39,604,039 | 39,975,349 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) |
5.000 | % | 5/1/53 | 28,790,081 | 27,197,203 | (f) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.619%) |
2.871 | % | 11/1/47 | 9,799,420 | 9,278,517 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.621%) |
3.097 | % | 2/1/50 | 12,974,188 | 12,235,215 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 1.628%) |
3.005 | % | 11/1/48 | 27,537,302 | 25,552,119 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) (5 year Treasury Constant Maturity Rate + 1.285%) |
2.105 | % | 3/1/47 | 2,492,873 | 2,348,658 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold |
7.000 | % | 4/1/24- 3/1/39 | 226,561 | 237,632 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold |
5.000 | % | 12/1/24-3/1/44 | 2,123,658 | 2,062,033 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold |
4.500 | % | 2/1/29- 6/1/47 | 8,552,671 | 8,078,555 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold |
6.500 | % | 6/1/32- 9/1/39 | 150,166 | 154,191 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold |
3.500 | % | 8/1/33- 2/1/49 | 5,234,187 | 4,682,082 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold |
5.500 | % | 4/1/35- 4/1/38 | 1,230,251 | 1,198,357 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold |
6.000 | % | 11/1/39 | 89,780 | 91,460 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold |
4.000 | % | 11/1/41-6/1/48 | 23,675,410 | 21,596,338 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold |
3.000 | % | 10/1/46-9/1/48 | 23,392,615 | 19,854,292 | |||||||||||
|
|
|||||||||||||||
Total FHLMC |
|
1,369,842,817 | ||||||||||||||
|
|
See Notes to Schedule of Investments.
32 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
FNMA - 16.9% |
||||||||||||||||
Federal National Mortgage Association (FNMA) |
2.810 | % | 4/1/25 | $ | 655,847 | $ | 628,999 | |||||||||
Federal National Mortgage Association (FNMA) |
7.500 | % | 8/1/25-4/1/28 | 8,583 | 8,558 | |||||||||||
Federal National Mortgage Association (FNMA) |
6.000 | % | 1/1/26-7/1/53 | 46,391,296 | 46,017,630 | |||||||||||
Federal National Mortgage Association (FNMA) |
7.000 | % | 4/1/27-2/1/39 | 669,551 | 684,239 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.490 | % | 6/1/28 | 3,943,000 | 3,827,179 | |||||||||||
Federal National Mortgage Association (FNMA) |
2.930 | % | 7/1/28-6/1/30 | 10,371,118 | 9,252,365 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.830 | % | 9/1/28 | 12,422,000 | 12,239,344 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.860 | % | 9/1/28 | 10,327,000 | 10,188,391 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.880 | % | 9/1/28 | 3,200,000 | 3,160,048 | |||||||||||
Federal National Mortgage Association (FNMA) |
5.340 | % | 9/1/28 | 805,000 | 811,345 | |||||||||||
Federal National Mortgage Association (FNMA) |
5.000 | % | 10/1/28 | 1,200,000 | 1,203,238 | (g)(h)(i) | ||||||||||
Federal National Mortgage Association (FNMA) |
5.130 | % | 10/1/28 | 6,400,000 | 6,373,250 | (g)(i) | ||||||||||
Federal National Mortgage Association (FNMA) |
3.200 | % | 2/1/29 | 2,055,810 | 1,876,855 | |||||||||||
Federal National Mortgage Association (FNMA) |
3.450 | % | 3/1/29 | 4,669,258 | 4,304,113 | |||||||||||
Federal National Mortgage Association (FNMA) |
3.160 | % | 5/1/29 | 2,222,320 | 2,003,354 | |||||||||||
Federal National Mortgage Association (FNMA) |
3.250 | % | 5/1/29 | 4,984,365 | 4,538,019 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.740 | % | 6/1/30 | 3,400,000 | 3,262,890 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.500 | % | 4/1/31-1/1/59 | 139,176,601 | 129,576,389 | |||||||||||
Federal National Mortgage Association (FNMA) |
2.149 | % | 2/1/32 | 21,299,901 | 16,996,404 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) |
6.500 | % | 2/1/32-2/1/53 | 23,237,878 | 23,520,492 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
33 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
FNMA - (continued) |
||||||||||||||||
Federal National Mortgage Association (FNMA) |
3.345 | % | 6/1/32 | $ | 100,000 | $ | 87,029 | |||||||||
Federal National Mortgage Association (FNMA) |
3.890 | % | 7/1/32 | 12,600,000 | 11,246,109 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.060 | % | 7/1/32 | 3,400,000 | 3,073,178 | |||||||||||
Federal National Mortgage Association (FNMA) |
3.850 | % | 8/1/32 | 2,500,000 | 2,221,114 | |||||||||||
Federal National Mortgage Association (FNMA) |
3.900 | % | 8/1/32 | 1,600,000 | 1,427,175 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.270 | % | 10/1/32 | 394,758 | 369,315 | |||||||||||
Federal National Mortgage Association (FNMA) |
5.290 | % | 12/1/32 | 417,000 | 417,996 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.580 | % | 1/1/33 | 1,275,000 | 1,213,281 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.690 | % | 1/1/33 | 1,843,497 | 1,771,270 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.720 | % | 1/1/33 | 100,000 | 96,167 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.840 | % | 1/1/33 | 400,000 | 388,457 | |||||||||||
Federal National Mortgage Association (FNMA) |
5.080 | % | 1/1/33 | 400,000 | 395,213 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.360 | % | 2/1/33 | 2,440,000 | 2,280,153 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.420 | % | 3/1/33-4/1/33 | 2,115,406 | 1,983,099 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.870 | % | 3/1/33 | 1,380,000 | 1,341,879 | |||||||||||
Federal National Mortgage Association (FNMA) |
3.500 | % | 12/1/34-6/1/52 | 240,568,142 | 210,423,976 | |||||||||||
Federal National Mortgage Association (FNMA) |
2.789 | % | 1/1/35 | 3,352,617 | 2,723,063 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) |
3.000 | % | 7/1/35-4/1/52 | 413,247,929 | 349,722,289 | |||||||||||
Federal National Mortgage Association (FNMA) |
5.500 | % | 9/1/35-9/1/56 | 95,690,026 | 92,717,742 | |||||||||||
Federal National Mortgage Association (FNMA) |
2.500 | % | 9/1/36-9/1/61 | 496,602,365 | 399,435,344 |
See Notes to Schedule of Investments.
34 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
FNMA - (continued) |
||||||||||||||||
Federal National Mortgage Association (FNMA) |
5.000 | % | 1/1/39-5/1/53 | $ | 60,501,272 | $ | 57,422,781 | |||||||||
Federal National Mortgage Association (FNMA) |
2.000 | % | 8/1/40-3/1/52 | 458,876,106 | 355,709,267 | |||||||||||
Federal National Mortgage Association (FNMA) |
1.500 | % | 1/1/42-3/1/51 | 33,128,133 | 24,117,906 | |||||||||||
Federal National Mortgage Association (FNMA) |
4.000 | % | 7/1/42-6/1/57 | 187,732,559 | 168,984,573 | |||||||||||
Federal National Mortgage Association (FNMA) |
3.500 | % | 1/1/50 | 40,602,582 | 35,484,357 | (f) | ||||||||||
Federal National Mortgage Association (FNMA) |
3.000 | % | 11/1/50-11/1/51 | 28,943,616 | 24,371,380 | (f) | ||||||||||
Federal National Mortgage Association (FNMA) |
2.000 | % | 10/1/53 | 51,100,000 | 38,879,914 | (i) | ||||||||||
Federal National Mortgage Association (FNMA) |
2.500 | % | 10/1/53 | 27,000,000 | 21,434,368 | (i) | ||||||||||
Federal National Mortgage Association (FNMA) |
3.500 | % | 10/1/53 | 4,500,000 | 3,870,352 | (i) | ||||||||||
Federal National Mortgage Association (FNMA) |
4.000 | % | 10/1/53 | 11,900,000 | 10,595,648 | (i) | ||||||||||
Federal National Mortgage Association (FNMA) |
4.500 | % | 10/1/53 | 16,500,000 | 15,150,352 | (i) | ||||||||||
Federal National Mortgage Association (FNMA) |
5.000 | % | 10/1/53 | 14,500,000 | 13,680,977 | (i) | ||||||||||
Federal National Mortgage Association (FNMA) |
5.500 | % | 10/1/53 | 57,700,000 | 55,763,894 | (i) | ||||||||||
Federal National Mortgage Association (FNMA) |
6.000 | % | 10/1/53 | 139,600,000 | 137,778,657 | (i) | ||||||||||
Federal National Mortgage Association (FNMA) |
6.500 | % | 10/1/53 | 70,500,000 | 70,824,961 | (i) | ||||||||||
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 1.810%) |
6.237 | % | 11/1/35 | 94,784 | 92,288 | (c) | ||||||||||
|
|
|||||||||||||||
Total FNMA |
2,397,968,626 | |||||||||||||||
|
|
|||||||||||||||
GNMA - 8.9% |
||||||||||||||||
Government National Mortgage Association (GNMA) |
7.000 | % | 3/15/24-5/15/32 | 3,147 | 3,118 | |||||||||||
Government National Mortgage Association (GNMA) |
6.500 | % | 4/15/24-8/15/34 | 1,193,028 | 1,215,499 | |||||||||||
Government National Mortgage Association (GNMA) |
6.000 | % | 12/15/28-6/15/35 | 887,974 | 890,608 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
35 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
GNMA - (continued) |
||||||||||||||||
Government National Mortgage Association (GNMA) |
7.500 | % | 3/15/29-8/15/32 | $ | 15,765 | $ | 15,757 | |||||||||
Government National Mortgage Association (GNMA) |
5.500 | % | 2/15/35-6/15/36 | 65,372 | 64,835 | |||||||||||
Government National Mortgage Association (GNMA) |
5.000 | % | 1/15/40 | 15,149 | 14,766 | |||||||||||
Government National Mortgage Association (GNMA) |
3.000 | % | 9/15/42-11/15/42 | 6,108,154 | 5,321,195 | |||||||||||
Government National Mortgage Association (GNMA) |
3.500 | % | 6/15/48-5/15/50 | 3,606,076 | 3,229,882 | |||||||||||
Government National Mortgage Association (GNMA) |
4.000 | % | 3/15/50 | 287,209 | 261,818 | |||||||||||
Government National Mortgage Association (GNMA) II |
6.000 | % | 9/20/36-2/20/42 | 1,038,570 | 1,076,798 | |||||||||||
Government National Mortgage Association (GNMA) II |
6.500 | % | 10/20/37 | 261,185 | 272,254 | |||||||||||
Government National Mortgage Association (GNMA) II |
4.500 | % | 1/20/40-9/20/52 | 133,103,778 | 124,177,071 | |||||||||||
Government National Mortgage Association (GNMA) II |
5.000 | % | 7/20/40-5/20/53 | 120,137,642 | 114,738,614 | |||||||||||
Government National Mortgage Association (GNMA) II |
3.500 | % | 6/20/44-2/20/53 | 148,987,185 | 131,611,596 | |||||||||||
Government National Mortgage Association (GNMA) II |
4.000 | % | 10/20/44-4/20/53 | 120,922,470 | 110,447,416 | |||||||||||
Government National Mortgage Association (GNMA) II |
3.000 | % | 1/20/46-4/20/53 | 328,303,772 | 278,496,604 | |||||||||||
Government National Mortgage Association (GNMA) II |
2.500 | % | 10/20/49-2/20/53 | 156,648,986 | 127,365,900 | |||||||||||
Government National Mortgage Association (GNMA) II |
2.000 | % | 2/20/51-3/20/51 | 38,355,579 | 30,200,598 | |||||||||||
Government National Mortgage Association (GNMA) II |
5.500 | % | 11/20/52-2/20/53 | 23,983,747 | 23,326,017 | |||||||||||
Government National Mortgage Association (GNMA) II |
6.000 | % | 7/20/53 | 21,105,949 | 20,934,859 | (f) | ||||||||||
Government National Mortgage Association (GNMA) II |
2.000 | % | 10/20/53 | 1,100,000 | 869,816 | (i) | ||||||||||
Government National Mortgage Association (GNMA) II |
2.500 | % | 10/20/53 | 11,700,000 | 9,564,273 | (i) | ||||||||||
Government National Mortgage Association (GNMA) II |
3.000 | % | 10/20/53 | 4,100,000 | 3,475,391 | (i) |
See Notes to Schedule of Investments.
36 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
GNMA - (continued) |
||||||||||||||||
Government National Mortgage Association (GNMA) II |
3.500 | % | 10/20/53 | $ | 25,600,000 | $ | 22,426,000 | (i) | ||||||||
Government National Mortgage Association (GNMA) II |
4.000 | % | 10/20/53 | 1,700,000 | 1,531,793 | (i) | ||||||||||
Government National Mortgage Association (GNMA) II |
4.500 | % | 10/20/53 | 100,000 | 92,387 | (i) | ||||||||||
Government National Mortgage Association (GNMA) II |
5.000 | % | 10/20/53 | 67,100,000 | 63,587,735 | (i) | ||||||||||
Government National Mortgage Association (GNMA) II |
5.500 | % | 10/20/53 | 88,000,000 | 85,401,249 | (i) | ||||||||||
Government National Mortgage Association (GNMA) II |
6.000 | % | 10/20/53 | 84,900,000 | 84,130,595 | (i) | ||||||||||
Government National Mortgage Association (GNMA) II |
6.500 | % | 10/20/53 | 24,000,000 | 24,136,875 | (i) | ||||||||||
|
|
|||||||||||||||
Total GNMA |
1,268,881,319 | |||||||||||||||
|
|
|||||||||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost - $5,534,109,763) |
|
5,036,692,762 | ||||||||||||||
|
|
|||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (j) - 13.0% | ||||||||||||||||
Alternative Loan Trust, 2006-OA8 1A1 (1 mo. Term SOFR + 0.494%) |
5.814 | % | 7/25/46 | 389,108 | 328,555 | (c) | ||||||||||
Angel Oak Mortgage Trust, 2022-3 A1 |
4.000 | % | 1/25/67 | 29,792,032 | 26,814,623 | (b) | ||||||||||
AREIT LLC, 2022-CRE7 A (1 mo. Term SOFR + 2.242%) |
7.573 | % | 6/17/39 | 8,625,000 | 8,623,292 | (b)(c) | ||||||||||
AREIT Trust, 2022-CRE6 A (30 Day Average SOFR + 1.250%) |
6.563 | % | 1/20/37 | 18,498,407 | 18,119,460 | (b)(c) | ||||||||||
BANK, 2017-BNK5 A4 |
3.131 | % | 6/15/60 | 7,310,000 | 6,659,563 | |||||||||||
BANK, 2020-BN29 C |
3.135 | % | 11/15/53 | 1,930,000 | 1,278,237 | (c) | ||||||||||
BANK, 2021-BN36 XA, IO |
1.010 | % | 9/15/64 | 43,884,114 | 1,840,930 | (c) | ||||||||||
BANK, 2022-BNK44 A5 |
5.937 | % | 11/15/55 | 7,280,000 | 7,219,320 | (c) | ||||||||||
Benchmark Mortgage Trust, 2019-B10 A2 |
3.614 | % | 3/15/62 | 7,659,559 | 7,536,952 | |||||||||||
Benchmark Mortgage Trust, 2020-B21 B |
2.458 | % | 12/17/53 | 3,870,000 | 2,731,251 | |||||||||||
Benchmark Mortgage Trust, 2020-IG1 AS |
2.909 | % | 9/15/43 | 13,280,000 | 10,028,276 | (c) | ||||||||||
Benchmark Mortgage Trust, 2021-B25 XA, IO |
1.213 | % | 4/15/54 | 21,946,421 | 1,205,912 | (c) | ||||||||||
BHMS, 2018-ATLS A (1 mo. Term SOFR + 1.547%) |
6.879 | % | 7/15/35 | 21,879,000 | 21,619,780 | (b)(c) | ||||||||||
BRAVO Residential Funding Trust, 2022- NQM3 A1 |
5.108 | % | 7/25/62 | 19,894,343 | 19,282,484 | (b)(c) | ||||||||||
BX Commercial Mortgage Trust, 2019-IMC A (1 mo. Term SOFR + 1.114%) |
6.446 | % | 4/15/34 | 8,956,000 | 8,889,971 | (b)(c) |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
37 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
BX Commercial Mortgage Trust, 2019-XL A (1 mo. Term SOFR + 1.034%) |
6.367 | % | 10/15/36 | $ | 7,413,439 | $ | 7,394,735 | (b)(c) | ||||||||
BX Commercial Mortgage Trust, 2021-XL2 A (1 mo. Term SOFR + 0.803%) |
6.135 | % | 10/15/38 | 23,684,665 | 23,160,774 | (b)(c) | ||||||||||
BX Commercial Mortgage Trust, 2022-LP2 A (1 mo. Term SOFR + 1.013%) |
6.345 | % | 2/15/39 | 16,201,389 | 15,831,468 | (b)(c) | ||||||||||
BX Trust, 2022-LBA6 A (1 mo. Term SOFR + 1.000%) |
6.332 | % | 1/15/39 | 20,360,000 | 19,925,959 | (b)(c) | ||||||||||
CD Mortgage Trust, 2016-CD2 A4 |
3.526 | % | 11/10/49 | 4,209,000 | 3,831,052 | (c) | ||||||||||
CHL Mortgage Pass-Through Trust, 2005-11 3A3 |
3.607 | % | 4/25/35 | 17,187 | 12,374 | (c) | ||||||||||
Citigroup Commercial Mortgage Trust, 2014-GC25 AS |
4.017 | % | 10/10/47 | 1,773,000 | 1,700,572 | |||||||||||
Citigroup Commercial Mortgage Trust, 2016-C2 B |
3.176 | % | 8/10/49 | 6,920,000 | 5,985,244 | |||||||||||
Citigroup Commercial Mortgage Trust, 2016-P6 A4 |
3.458 | % | 12/10/49 | 3,369,873 | 3,144,051 | |||||||||||
Citigroup Commercial Mortgage Trust, 2017-B1 A3 |
3.197 | % | 8/15/50 | 8,467,162 | 7,685,092 | |||||||||||
Citigroup Commercial Mortgage Trust, 2017-C4 A4 |
3.471 | % | 10/12/50 | 8,956,000 | 8,106,533 | |||||||||||
Citigroup Commercial Mortgage Trust, 2017-P7 B |
4.137 | % | 4/14/50 | 2,624,000 | 2,243,331 | (c) | ||||||||||
Citigroup Commercial Mortgage Trust, 2019-C7 A4 |
3.102 | % | 12/15/72 | 17,000,000 | 14,358,504 | |||||||||||
Cold Storage Trust, 2020-ICE5 A (1 mo. Term SOFR + 1.014%) |
6.347 | % | 11/15/37 | 49,277,315 | 48,817,902 | (b)(c) | ||||||||||
COLT Mortgage Loan Trust, 2022-2 A1, Step bond (2.994% to 2/25/26 then 3.994%) |
2.994 | % | 2/25/67 | 15,468,340 | 13,497,771 | (b) | ||||||||||
Commercial Mortgage Trust, 2013-300P B |
4.540 | % | 8/10/30 | 4,057,000 | 3,575,155 | (b)(c) | ||||||||||
Commercial Mortgage Trust, 2013-CR12 AM |
4.300 | % | 10/10/46 | 448,000 | 392,953 | |||||||||||
Commercial Mortgage Trust, 2013-CR12 B |
4.762 | % | 10/10/46 | 394,000 | 283,832 | (c) | ||||||||||
Commercial Mortgage Trust, 2013-CR12 C |
5.112 | % | 10/10/46 | 188,000 | 70,624 | (c) | ||||||||||
Commercial Mortgage Trust, 2014-277P A |
3.732 | % | 8/10/49 | 2,830,000 | 2,600,981 | (b)(c) | ||||||||||
Commercial Mortgage Trust, 2014-UBS2 XA, IO |
1.188 | % | 3/10/47 | 10,221,873 | 2,269 | (c) | ||||||||||
Commercial Mortgage Trust, 2015-CR24 AM |
4.028 | % | 8/10/48 | 7,541,000 | 7,100,787 | (c) | ||||||||||
Commercial Mortgage Trust, 2017-PANW A |
3.244 | % | 10/10/29 | 9,771,000 | 8,843,807 | (b) | ||||||||||
Commercial Mortgage Trust, 2020-CX A |
2.173 | % | 11/10/46 | 8,430,000 | 6,439,046 | (b) | ||||||||||
CRSO Trust, 2023-BRND A |
7.121 | % | 7/10/40 | 5,660,000 | 5,676,309 | (b) |
See Notes to Schedule of Investments.
38 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
CSAIL Commercial Mortgage Trust, 2019- C15 A4 |
4.053 | % | 3/15/52 | $ | 13,433,000 | $ | 12,127,690 | |||||||||
CSMC Trust, 2017-RPL1 A1 |
2.750 | % | 7/25/57 | 14,155,292 | 13,377,993 | (b)(c) | ||||||||||
CSMC Trust, 2017-RPL1 M1 |
2.962 | % | 7/25/57 | 22,223,700 | 17,733,408 | (b)(c) | ||||||||||
CSMC Trust, 2017-RPL3 A1 |
4.000 | % | 8/1/57 | 5,858,187 | 5,300,000 | (b)(c) | ||||||||||
CSMC Trust, 2018-J1 A2 |
3.500 | % | 2/25/48 | 15,808,354 | 13,611,181 | (b)(c) | ||||||||||
CSMC Trust, 2019-ICE4 A (1 mo. Term SOFR + 1.027%) |
6.360 | % | 5/15/36 | 24,271,615 | 24,249,756 | (b)(c) | ||||||||||
CSMC Trust, 2019-NQM1 A1, Step bond (2.656% to 11/25/23 then 3.656%) |
2.656 | % | 10/25/59 | 3,047,517 | 2,922,644 | (b) | ||||||||||
CSMC Trust, 2020-522F A (1 mo. Term SOFR + 3.853%) |
9.186 | % | 9/16/25 | 54,350,000 | 36,081,025 | (b)(c) | ||||||||||
CSMC Trust, 2020-FACT A (1 mo. Term SOFR + 1.464%) |
6.797 | % | 10/15/37 | 8,970,000 | 8,783,418 | (b)(c) | ||||||||||
CSMC Trust, 2020-RPL3 A1 |
2.691 | % | 3/25/60 | 9,505,201 | 9,331,075 | (b)(c) | ||||||||||
CSMC Trust, 2020-RPL4 A1 |
2.000 | % | 1/25/60 | 18,845,872 | 16,089,083 | (b)(c) | ||||||||||
CSMC Trust, 2021-4SZN A (1 mo. Term SOFR + 3.967%) |
9.300 | % | 11/15/23 | 17,000,000 | 16,489,167 | (b)(c) | ||||||||||
CSMC Trust, 2021-AFC1 A1 |
0.830 | % | 3/25/56 | 6,694,901 | 4,928,269 | (b)(c) | ||||||||||
CSMC Trust, 2021-AFC1 A3 |
1.169 | % | 3/25/56 | 2,289,622 | 1,669,688 | (b)(c) | ||||||||||
CSMC Trust, 2021-NQM7 A1 |
1.756 | % | 10/25/66 | 28,341,869 | 22,992,655 | (b)(c) | ||||||||||
CSMC Trust, 2021-RPL1 A1 |
1.668 | % | 9/27/60 | 9,711,013 | 8,985,103 | (b)(c) | ||||||||||
CSMC Trust, 2021-RPL2 A1 |
0.000 | % | 1/25/60 | 25,543,029 | 21,478,142 | (b) | ||||||||||
CSMC Trust, 2021-RPL4 A1 |
1.796 | % | 12/27/60 | 13,760,598 | 12,875,626 | (b)(c) | ||||||||||
CSMC Trust, 2021-RPL6 A1 |
2.000 | % | 10/25/60 | 14,401,596 | 12,543,200 | (b)(c) | ||||||||||
CSMC Trust, 2022-7R 1A1 (30 Day Average SOFR + 3.500%) |
8.816 | % | 10/25/66 | 20,703,304 | 20,596,239 | (b)(c) | ||||||||||
CSMC Trust, 2022-CNTR A (1 mo. Term SOFR + 3.944%) |
9.277 | % | 1/15/24 | 17,000,000 | 14,610,000 | (b)(c) | ||||||||||
CSMC Trust, 2022-NQM1 A1 |
2.265 | % | 11/25/66 | 32,223,691 | 26,588,251 | (b)(c) | ||||||||||
CSMC Trust, 2022-RPL4 A1 |
3.904 | % | 4/25/62 | 9,270,454 | 8,526,138 | (b)(c) | ||||||||||
DBCG Mortgage Trust, 2017-BBG A |
8.500 | % | 6/15/34 | 7,610,000 | 7,531,982 | (b)(c) | ||||||||||
DBJPM Mortgage Trust, 2016-C1 B |
4.195 | % | 5/10/49 | 1,320,000 | 1,146,874 | (c) | ||||||||||
DC Commercial Mortgage Trust, 2023-DC A |
6.314 | % | 9/12/40 | 10,590,000 | 10,576,572 | (b) | ||||||||||
Deephaven Residential Mortgage Trust, 2022-1 A1 |
2.205 | % | 1/25/67 | 23,332,009 | 20,285,210 | (b)(c) | ||||||||||
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2004-4 7AR2 (1 mo. Term SOFR + 0.564%) |
5.884 | % | 6/25/34 | 16,469 | 14,868 | (c) |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
39 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AF1 (1 mo. Term SOFR + 0.404%) |
5.737 | % | 4/15/36 | $ | 1,757,361 | $ | 1,509,144 | (b)(c) | ||||||||
Ellington Financial Mortgage Trust, 2022-1 A1 |
2.206 | % | 1/25/67 | 22,560,100 | 18,422,544 | (b)(c) | ||||||||||
EverBank Mortgage Loan Trust, 2018-1 A22 |
3.500 | % | 2/25/48 | 3,366,935 | 2,882,916 | (b)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multiclass Certificates, 2020-RR02 BX, IO |
1.666 | % | 8/27/28 | 10,000,000 | 658,760 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multiclass Certificates, 2020-RR07 AX, IO |
2.468 | % | 9/27/28 | 9,000,000 | 881,262 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily ML Certificates, 2020- ML07 XUS, IO |
2.016 | % | 10/25/36 | 16,859,069 | 2,343,748 | (b)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily PC REMIC Trust, 2019- RR01 X, IO |
1.534 | % | 6/25/28 | 15,000,000 | 870,497 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K062 X1, IO |
0.416 | % | 12/25/26 | 253,129,240 | 2,118,590 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K072 X1, IO |
0.491 | % | 12/25/27 | 60,808,293 | 809,985 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K091 X1, IO |
0.706 | % | 3/25/29 | 33,240,865 | 864,957 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K093 X1, IO |
1.083 | % | 5/25/29 | 19,465,511 | 805,257 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K095 XAM, IO |
1.374 | % | 6/25/29 | 10,114,000 | 601,785 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K101 X1, IO |
0.947 | % | 10/25/29 | 19,702,334 | 793,730 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K105 X1, IO |
1.644 | % | 1/25/30 | 31,878,749 | 2,382,018 | (c) |
See Notes to Schedule of Investments.
40 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K106 X1, IO |
1.477 | % | 1/25/30 | $ | 27,037,228 | $ | 1,808,112 | (c) | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K110 X1, IO |
1.813 | % | 4/25/30 | 16,399,334 | 1,356,886 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K115 X1, IO |
1.427 | % | 6/25/30 | 5,974,539 | 409,577 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K116 X1, IO |
1.528 | % | 7/25/30 | 13,412,023 | 970,011 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K121 X1, IO |
1.118 | % | 10/25/30 | 1,480,367 | 79,656 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K124 X1, IO |
0.810 | % | 12/25/30 | 42,293,568 | 1,703,027 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K128 X1, IO |
0.612 | % | 3/25/31 | 48,602,649 | 1,435,761 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K133 X1, IO |
0.444 | % | 9/25/31 | 75,602,034 | 1,690,817 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K136 X1, IO |
0.495 | % | 12/25/31 | 187,041,174 | 4,256,234 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K142 X1, IO |
0.403 | % | 3/25/32 | 34,179,592 | 714,326 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K143 X1, IO |
0.450 | % | 4/25/55 | 6,992,291 | 170,788 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K145 X1, IO |
0.430 | % | 6/25/55 | 22,464,586 | 524,312 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K146 X1, IO |
0.352 | % | 6/25/54 | 54,481,088 | 998,181 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K147 X1, IO |
0.488 | % | 6/25/32 | 19,971,926 | 540,528 | (c) |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
41 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K148 X1, IO |
0.391 | % | 7/25/32 | $ | 59,187,136 | $ | 1,210,673 | (c) | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K149 X1, IO |
0.403 | % | 8/25/32 | 32,946,194 | 708,004 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K151 X1, IO |
0.330 | % | 10/25/32 | 75,241,416 | 1,234,832 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K154 X1, IO |
0.527 | % | 1/25/33 | 25,996,841 | 760,077 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K155 X1, IO |
0.421 | % | 4/25/33 | 8,996,735 | 207,856 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K159 X1, IO |
0.123 | % | 7/25/33 | 174,435,000 | 2,478,939 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K507 A2 |
4.800 | % | 9/25/28 | 2,900,000 | 2,849,317 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K736 X1, IO |
1.410 | % | 7/25/26 | 8,009,032 | 224,631 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K737 X1, IO |
0.746 | % | 10/25/26 | 41,387,706 | 616,689 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K741 X1, IO |
0.653 | % | 12/25/27 | 17,913,810 | 346,525 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K742 X1, IO |
0.867 | % | 3/25/28 | 18,444,382 | 424,011 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K750 A2 |
3.000 | % | 9/25/29 | 500,000 | 446,427 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K751 A2 |
4.412 | % | 3/25/30 | 3,600,000 | 3,444,270 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K1511 X1, IO |
0.929 | % | 3/25/34 | 3,551,809 | 187,587 | (c) |
See Notes to Schedule of Investments.
42 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K1515 X1, IO |
1.636 | % | 2/25/35 | $ | 25,532,663 | $ | 2,831,695 | (c) | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K1516 X1, IO |
1.629 | % | 5/25/35 | 7,422,346 | 871,150 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K1517 X1, IO |
1.436 | % | 7/25/35 | 6,346,162 | 647,887 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K1520 X1, IO |
0.578 | % | 2/25/36 | 14,948,171 | 562,994 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, KC05 X1, IO |
1.365 | % | 6/25/27 | 7,212,933 | 181,104 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, S8FX A2 |
3.291 | % | 3/25/27 | 7,057,000 | 6,573,991 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily WI Certificates, K160 A2 |
4.500 | % | 12/25/33 | 5,900,000 | 5,534,363 | (b) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Reference REMIC, R007 ZA |
6.000 | % | 5/15/36 | 845,320 | 859,033 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 2957 ZA, PAC |
5.000 | % | 3/15/35 | 1,309,746 | 1,286,851 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3242 SC, IO (-1.000 x 30 Day Average SOFR + 6.176%) |
0.862 | % | 11/15/36 | 219,933 | 15,237 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3281 AI, IO (-1.000 x 30 Day Average SOFR + 6.316%) |
1.002 | % | 2/15/37 | 563,293 | 41,073 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3368 AI, IO (-1.000 x 30 Day Average SOFR + 5.916%) |
0.602 | % | 9/15/37 | 466,996 | 28,592 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3621 SB, IO (-1.000 x 30 Day Average SOFR + 6.116%) |
0.802 | % | 1/15/40 | 124,354 | 8,849 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3639 EY |
5.000 | % | 2/15/30 | 371,671 | 367,575 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
43 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3947 SG, IO (-1.000 x 30 Day Average SOFR + 5.836%) |
0.522 | % | 10/15/41 | $ | 287,078 | $ | 19,751 | (c) | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3973 SA, IO (-1.000 x 30 Day Average SOFR + 6.376%) |
1.062 | % | 12/15/41 | 218,293 | 19,710 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4054 SA, IO (-1.000 x 30 Day Average SOFR + 5.936%) |
0.622 | % | 8/15/39 | 442,116 | 27,159 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4099 ST, IO (-1.000 x 30 Day Average SOFR + 5.886%) |
0.572 | % | 8/15/42 | 577,529 | 48,150 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4119 IN, IO |
3.500 | % | 10/15/32 | 368,902 | 35,568 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4194 BI, IO, PAC |
3.500 | % | 4/15/43 | 1,263,027 | 210,009 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4203 PS, IO, PAC (-1.000 x 30 Day Average SOFR + 6.136%) |
0.822 | % | 9/15/42 | 360,302 | 23,984 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4239 IO, IO |
3.500 | % | 6/15/27 | 312,810 | 10,487 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4298 PI, IO, PAC |
4.000 | % | 4/15/43 | 89,854 | 2,958 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4310 SA, IO (-1.000 x 30 Day Average SOFR + 5.836%) |
0.522 | % | 2/15/44 | 683,505 | 48,347 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4335 SW, IO (-1.000 x 30 Day Average SOFR + 5.886%) |
0.572 | % | 5/15/44 | 275,929 | 20,030 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4415 IO, IO |
0.000 | % | 4/15/41 | 359,972 | 15,508 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4793 CB |
3.000 | % | 5/15/48 | 3,068,108 | 2,657,261 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4793 CD |
3.000 | % | 6/15/48 | 2,049,627 | 1,761,324 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4813 CJ |
3.000 | % | 8/15/48 | 1,622,990 | 1,378,256 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4991 QV |
2.000 | % | 9/25/45 | 1,306,056 | 1,006,034 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5010 IK, IO |
2.500 | % | 9/25/50 | 3,966,064 | 597,455 |
See Notes to Schedule of Investments.
44 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5010 JI, IO |
2.500 | % | 9/25/50 | $ | 10,580,972 | $ | 1,627,863 | |||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5013 IN, IO |
2.500 | % | 9/25/50 | 4,569,086 | 720,819 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5018 MI, IO |
2.000 | % | 10/25/50 | 9,141,066 | 1,203,660 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5040 IB, IO |
2.500 | % | 11/25/50 | 2,685,714 | 464,460 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5059 IB, IO |
2.500 | % | 1/25/51 | 13,648,944 | 2,156,398 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5069 MI, IO |
2.500 | % | 2/25/51 | 5,169,233 | 750,152 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5085 NI, IO |
2.000 | % | 3/25/51 | 23,740,155 | 2,746,195 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5092 AP, PAC |
2.000 | % | 4/25/41 | 1,983,959 | 1,658,023 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5140 NI, IO |
2.500 | % | 5/25/49 | 16,596,219 | 2,379,065 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5148 BI, IO |
2.500 | % | 1/25/49 | 22,483,441 | 3,143,639 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5148 CI, IO |
2.000 | % | 6/25/49 | 11,217,697 | 1,254,561 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5200 KQ, PAC |
3.000 | % | 9/25/49 | 567,638 | 500,059 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5202 IN, IO |
3.000 | % | 1/25/47 | 745,629 | 100,902 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5224 HL, PAC |
4.000 | % | 4/25/52 | 21,428,000 | 18,282,125 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5230 PE |
2.000 | % | 12/25/51 | 14,368,162 | 10,593,532 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA6 M2 (30 Day Average SOFR + 1.500%) |
6.815 | % | 10/25/41 | 38,510,000 | 38,005,796 | (b)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA7 M2 (30 Day Average SOFR + 1.800%) |
7.115 | % | 11/25/41 | 3,500,000 | 3,423,673 | (b)(c) |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
45 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA1 M1A (30 Day Average SOFR + 1.000%) |
6.315 | % | 1/25/42 | $ | 26,704,017 | $ | 26,474,787 | (b)(c) | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA3 M1A (30 Day Average SOFR + 2.000%) |
7.315 | % | 4/25/42 | 11,527,052 | 11,615,068 | (b)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA3 M1B (30 Day Average SOFR + 2.900%) |
8.215 | % | 4/25/42 | 33,130,000 | 33,912,862 | (b)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA4 M1A (30 Day Average SOFR + 2.200%) |
7.515 | % | 5/25/42 | 4,512,813 | 4,562,603 | (b)(c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 283 IO, IO |
3.500 | % | 10/15/27 | 94,219 | 3,683 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 334 S7, IO (-1.000 x 30 Day Average SOFR + 5.986%) |
0.672 | % | 8/15/44 | 196,201 | 16,203 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 353 S1, IO (-1.000 x 30 Day Average SOFR + 5.886%) |
0.572 | % | 12/15/46 | 3,101,392 | 242,434 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2021-DNA2 M2 (30 Day Average SOFR + 2.300%) |
7.615 | % | 8/25/33 | 18,703,429 | 18,866,974 | (b)(c) | ||||||||||
Federal National Mortgage Association (FNMA) CAS, 2014-C01 M2 (30 Day Average SOFR + 4.514%) |
9.829 | % | 1/25/24 | 5,069,610 | 5,117,700 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) CAS, 2022-R04 1M2 (30 Day Average SOFR + 3.100%) |
8.415 | % | 3/25/42 | 11,510,000 | 11,699,602 | (b)(c) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2013-M6 1AC |
3.454 | % | 2/25/43 | 399,370 | 364,436 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, |
0.231 | % | 1/25/24 | 4,613,491 | 26 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, |
0.575 | % | 12/25/24 | 85,552,613 | 258,703 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2017-M8 A2 |
3.061 | % | 5/25/27 | 1,509,323 | 1,403,782 | (c) |
See Notes to Schedule of Investments.
46 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) |
||||||||||||||||
Federal National Mortgage Association (FNMA) ACES, 2018-M9 APT2 |
3.209 | % | 4/25/28 | $ | 780,234 | $ | 719,788 | (c) | ||||||||
Federal National Mortgage Association (FNMA) ACES, 2018-M15 1A2 |
3.700 | % | 1/25/36 | 3,735,000 | 3,273,592 | |||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M4 A2 |
3.610 | % | 2/25/31 | 1,967,309 | 1,790,825 | |||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M5 A2 |
3.273 | % | 2/25/29 | 3,564,272 | 3,273,716 | |||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M6 A2 |
3.450 | % | 1/1/29 | 2,004,843 | 1,877,036 | |||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M13 X1, IO |
0.940 | % | 6/25/34 | 3,873,986 | 153,745 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M14 X1, IO |
0.671 | % | 6/25/29 | 9,344,820 | 224,582 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M19 A2 |
2.560 | % | 9/25/29 | 208,732 | 183,495 | |||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M23 3A3 |
2.720 | % | 10/25/31 | 5,133,599 | 4,328,450 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M28 AV |
2.232 | % | 2/25/27 | 2,411,051 | 2,236,109 | |||||||||||
Federal National Mortgage Association (FNMA) ACES, 2020-M6 A |
2.500 | % | 10/25/37 | 1,437,499 | 1,195,313 | |||||||||||
Federal National Mortgage Association (FNMA) ACES, 2020-M36 X1, IO |
1.540 | % | 9/25/34 | 19,222,749 | 1,213,547 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2020-M54 X, IO |
1.603 | % | 12/25/33 | 36,929,024 | 2,696,321 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2023-M4 A2 |
3.894 | % | 8/25/32 | 2,600,000 | 2,330,886 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2010-27 AS, IO (-1.000 x 30 Day Average SOFR + 6.366%) |
1.051 | % | 4/25/40 | 261,088 | 22,577 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2010-123 PM, PAC |
4.000 | % | 7/25/40 | 1,331,786 | 1,290,122 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2011-59 NZ |
5.500 | % | 7/25/41 | 430,846 | 430,219 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2011-99 KS, IO (-1.000 x 30 Day Average SOFR + 6.586%) |
1.271 | % | 10/25/26 | 89,132 | 1,363 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-28 B |
6.500 | % | 6/25/39 | 14,407 | 14,511 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
47 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-35 SC, IO (-1.000 x 30 Day Average SOFR + 6.386%) |
1.071 | % | 4/25/42 | $ | 571,819 | $ | 51,519 | (c) | ||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-46 BA |
6.000 | % | 5/25/42 | 397,884 | 403,900 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-51 B |
7.000 | % | 5/25/42 | 148,474 | 156,366 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-74 OA, PO |
0.000 | % | 3/25/42 | 26,800 | 23,518 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-74 SA, IO (-1.000 x 30 Day Average SOFR + 6.536%) |
1.221 | % | 3/25/42 | 472,011 | 25,069 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-75 AO, PO |
0.000 | % | 3/25/42 | 53,599 | 46,868 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-75 NS, IO (-1.000 x 30 Day Average SOFR + 6.486%) |
1.171 | % | 7/25/42 | 119,757 | 10,999 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-101 BI, IO |
4.000 | % | 9/25/27 | 53,978 | 1,134 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-118 VZ |
3.000 | % | 11/25/42 | 7,644,531 | 6,661,294 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-133 CS, IO (-1.000 x 30 Day Average SOFR + 6.036%) |
0.721 | % | 12/25/42 | 410,905 | 34,318 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-134 MS, IO (-1.000 x 30 Day Average SOFR + 6.036%) |
0.721 | % | 12/25/42 | 274,075 | 24,183 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-9 BC |
6.500 | % | 7/25/42 | 765,905 | 794,804 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-9 CB |
5.500 | % | 4/25/42 | 2,012,197 | 2,009,770 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-14 IG, IO |
4.000 | % | 3/25/43 | 474,761 | 79,903 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-26 HI, IO |
3.000 | % | 4/25/32 | 44,444 | 1,702 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-29 QI, IO |
4.000 | % | 4/25/43 | 756,161 | 131,237 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-54 BS, IO (-1.000 x 30 Day Average SOFR + 6.036%) |
0.721 | % | 6/25/43 | 925,701 | 83,817 | (c) |
See Notes to Schedule of Investments.
48 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-124 SB, IO (-1.000 x 30 Day Average SOFR + 5.836%) |
0.521 | % | 12/25/43 | $ | 1,981,417 | $ | 160,542 | (c) | ||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-126 CS, IO (-1.000 x 30 Day Average SOFR + 6.036%) |
0.721 | % | 9/25/41 | 759,469 | 38,794 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2014-47 AI, IO |
0.000 | % | 8/25/44 | 1,089,199 | 50,072 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2015-39 LZ |
3.000 | % | 6/25/45 | 88,836 | 75,143 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2015-56 AS, IO (-1.000 x 30 Day Average SOFR + 6.036%) |
0.721 | % | 8/25/45 | 557,550 | 49,689 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2015-65 CZ |
3.500 | % | 9/25/45 | 1,459,093 | 1,147,066 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2017-76 SB, IO (-1.000 x 30 Day Average SOFR + 5.986%) |
0.671 | % | 10/25/57 | 6,244,014 | 561,201 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2017-85 SC, IO (-1.000 x 30 Day Average SOFR + 6.086%) |
0.771 | % | 11/25/47 | 1,810,387 | 128,915 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2018-74 AB |
3.500 | % | 10/25/48 | 800,167 | 708,120 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-47 GZ |
2.000 | % | 7/25/50 | 6,509,318 | 3,479,123 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-56 AQ |
2.000 | % | 8/25/50 | 4,400,000 | 3,226,432 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-56 DI, IO |
2.500 | % | 8/25/50 | 4,413,029 | 686,175 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-57 TA |
2.000 | % | 4/25/50 | 5,236,863 | 4,381,391 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-73 KI, IO |
3.000 | % | 10/25/50 | 617,788 | 102,845 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-74 EI, IO |
2.500 | % | 10/25/50 | 3,875,501 | 625,037 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-89 DI, IO |
2.500 | % | 12/25/50 | 24,177,086 | 3,633,037 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-97 AI, IO |
2.000 | % | 1/25/51 | 29,411,269 | 3,910,405 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-1 IG, IO |
2.500 | % | 2/25/51 | 16,716,609 | 2,763,093 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
49 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-3 QI, IO |
2.500 | % | 2/25/51 | $ | 20,775,684 | $ | 3,238,318 | |||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-28 LB |
2.000 | % | 4/25/51 | 6,110,422 | 4,832,032 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-43 IO, IO |
2.500 | % | 6/25/51 | 7,445,536 | 1,129,740 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-44 MI, IO |
2.500 | % | 7/25/51 | 913,800 | 155,329 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-61 KI, IO |
2.500 | % | 4/25/49 | 31,074,591 | 4,327,221 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-65 JA |
2.000 | % | 1/25/46 | 1,563,036 | 1,318,373 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2021-69 IJ, IO |
2.500 | % | 1/25/49 | 43,829,892 | 5,983,517 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2022-57 BC |
4.000 | % | 9/25/52 | 542,596 | 498,778 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2022-86 IO, IO |
2.500 | % | 5/25/50 | 1,532,350 | 215,835 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 390 C3, IO |
6.000 | % | 7/25/38 | 159,362 | 34,410 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 407 22, IO |
5.000 | % | 1/25/39 | 57,617 | 11,452 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 407 23, IO |
5.000 | % | 1/25/39 | 28,690 | 5,710 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 407 27, IO |
5.500 | % | 1/25/39 | 27,572 | 5,972 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 407 34, IO |
5.000 | % | 1/25/38 | 39,873 | 6,510 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 407 41, IO |
6.000 | % | 1/25/38 | 204,412 | 44,561 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 409 C1, IO |
3.000 | % | 11/25/26 | 314,224 | 9,220 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 409 C2, IO |
3.000 | % | 4/25/27 | 451,681 | 16,177 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 409 C13, IO |
3.500 | % | 11/25/41 | 565,939 | 86,392 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 409 C17, IO |
4.000 | % | 11/25/41 | 663,171 | 120,858 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 409 C18, IO |
4.000 | % | 4/25/42 | 468,592 | 86,871 |
See Notes to Schedule of Investments.
50 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) |
| |||||||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 409 C22, IO |
4.500 | % | 11/25/39 | $ | 309,717 | $ | 57,669 | |||||||||
FREMF Mortgage Trust, 2019-K103 X2A, IO |
0.100 | % | 12/25/51 | 348,446,520 | 1,623,691 | (b) | ||||||||||
Galton Funding Mortgage Trust, 2017-1 A22 |
3.000 | % | 7/25/56 | 636,035 | 554,105 | (b)(c) | ||||||||||
Government National Mortgage Association (GNMA), 2010-42 BS, IO (-1.000x1 mo. Term SOFR + 6.366%) |
1.041 | % | 4/20/40 | 53,682 | 4,970 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2010-76 CS, IO (-1.000x1 mo. Term SOFR + 6.436%) |
1.111 | % | 6/20/40 | 944,545 | 88,860 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2010-85 HS, IO, PAC (-1.000 x 1 mo. Term SOFR + 6.536%) |
1.211 | % | 1/20/40 | 13,710 | 71 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2010-H03 FA (1 mo. Term SOFR + 0.664%) |
5.993 | % | 3/20/60 | 596,752 | 594,719 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2010-H10 FC (1 mo. Term SOFR + 1.114%) |
6.443 | % | 5/20/60 | 281,806 | 282,292 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2010-H26 LF (1 mo. Term SOFR + 0.464%) |
5.782 | % | 8/20/58 | 200,778 | 199,613 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2010-H27 FA (1 mo. Term SOFR + 0.494%) |
5.812 | % | 12/20/60 | 716,502 | 712,279 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2010-H28 FE (1 mo. Term SOFR + 0.514%) |
5.832 | % | 12/20/60 | 696,722 | 692,833 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2011-H03 FA (1 mo. Term SOFR + 0.614%) |
5.932 | % | 1/20/61 | 480,439 | 478,330 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2011-H05 FB (1 mo. Term SOFR + 0.614%) |
5.932 | % | 12/20/60 | 761,034 | 757,519 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2011-H06 FA (1 mo. Term SOFR + 0.564%) |
5.882 | % | 2/20/61 | 712,261 | 708,597 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2011-H08 FG (1 mo. Term SOFR + 0.594%) |
5.912 | % | 3/20/61 | 885,890 | 882,185 | (c) |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
51 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
Government National Mortgage Association (GNMA), 2011-H09 AF |
5.932 | % | 3/20/61 | $ | 517,525 | $ | 515,516 | (c) | ||||||||
Government National Mortgage Association (GNMA), 2012-27 IO, IO |
0.236 | % | 4/16/53 | 4,834,525 | 11,214 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2012-34 SA, IO (-1.000x1 mo. Term SOFR + 5.936%) |
0.611 | % | 3/20/42 | 1,061,666 | 90,239 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2012-44 IO, IO |
0.029 | % | 3/16/49 | 1,411,935 | 161 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2012-81 AI, IO |
3.500 | % | 4/20/27 | 15,468 | 111 | |||||||||||
Government National Mortgage Association (GNMA), 2012-98 SA, IO (-1.000x1 mo. Term SOFR + 5.986%) |
0.655 | % | 8/16/42 | 416,747 | 33,830 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2012-112 IO, IO |
0.111 | % | 2/16/53 | 3,755,086 | 8,829 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2012-124 AS, IO (-1.000x1 mo. Term SOFR + 6.086%) |
0.755 | % | 10/16/42 | 427,328 | 34,206 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2013-50 IO, IO |
0.061 | % | 10/16/48 | 22,490,807 | 30,907 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2013-72 IO, IO |
0.570 | % | 11/16/47 | 7,860,467 | 112,219 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2013-107 AD |
2.839 | % | 11/16/47 | 3,054,946 | 2,635,637 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2013-163 IO, IO |
1.012 | % | 2/16/46 | 2,641,588 | 57,212 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2014-5 SP, IO, PAC (-1.000x1 mo. Term SOFR + 6.036%) |
0.705 | % | 6/16/43 | 187,100 | 5,607 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2014-17 AM |
3.537 | % | 6/16/48 | 69,503 | 64,508 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2014-47 IA, IO |
0.148 | % | 2/16/48 | 647,829 | 2,568 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2014-50 IO, IO |
0.628 | % | 9/16/55 | 3,046,012 | 74,944 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2014-118 HS, IO (-1.000x1 mo. Term SOFR + 6.086%) |
0.761 | % | 8/20/44 | 3,653,045 | 329,649 | (c) |
See Notes to Schedule of Investments.
52 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
Government National Mortgage Association |
4.000 | % | 7/16/26 | $ | 261,161 | $ | 5,345 | |||||||||
Government National Mortgage Association |
0.372 | % | 8/16/54 | 4,593,698 | 48,357 | (c) | ||||||||||
Government National Mortgage Association |
0.343 | % | 4/16/55 | 11,208,846 | 135,215 | (c) | ||||||||||
Government National Mortgage Association |
4.000 | % | 4/16/45 | 1,225,220 | 235,126 | |||||||||||
Government National Mortgage Association |
4.500 | % | 11/16/45 | 6,612,511 | 1,309,738 | |||||||||||
Government National Mortgage Association |
0.655 | % | 10/16/46 | 1,876,505 | 208,039 | (c) | ||||||||||
Government National Mortgage Association |
6.197 | % | 7/20/65 | 159,851 | 159,366 | (c) | ||||||||||
Government National Mortgage Association |
0.448 | % | 8/16/58 | 4,916,733 | 117,488 | (c) | ||||||||||
Government National Mortgage Association |
0.680 | % | 2/16/57 | 8,048,360 | 272,984 | (c) | ||||||||||
Government National Mortgage Association |
0.592 | % | 7/16/58 | 2,738,445 | 77,675 | (c) | ||||||||||
Government National Mortgage Association |
0.526 | % | 2/16/59 | 4,152,119 | 125,716 | (c) | ||||||||||
Government National Mortgage Association |
0.506 | % | 4/16/57 | 5,724,605 | 161,624 | (c) | ||||||||||
Government National Mortgage Association |
0.504 | % | 12/16/59 | 3,214,899 | 108,467 | (c) | ||||||||||
Government National Mortgage Association |
0.618 | % | 3/16/60 | 1,280,976 | 44,611 | (c) | ||||||||||
Government National Mortgage Association |
0.574 | % | 11/20/67 | 410,264 | 11,392 | (c) | ||||||||||
Government National Mortgage Association |
2.750 | % | 3/20/48 | 1,124,913 | 964,012 | |||||||||||
Government National Mortgage Association |
4.000 | % | 8/20/48 | 563,323 | 519,994 | |||||||||||
Government National Mortgage Association |
5.732 | % | 2/20/68 | 2,271,745 | 2,247,079 | (c) |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
53 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
Government National Mortgage Association |
5.732 | % | 5/20/68 | $ | 3,878,797 | $ | 3,870,096 | (c) | ||||||||
Government National Mortgage Association |
5.732 | % | 5/20/68 | 2,192,574 | 2,173,349 | (c) | ||||||||||
Government National Mortgage Association |
3.500 | % | 2/20/49 | 367,377 | 324,440 | |||||||||||
Government National Mortgage Association |
3.000 | % | 7/20/49 | 2,210,363 | 1,895,005 | |||||||||||
Government National Mortgage Association |
3.500 | % | 4/20/50 | 7,458,052 | 1,276,379 | |||||||||||
Government National Mortgage Association |
3.500 | % | 4/20/50 | 2,729,188 | 455,146 | |||||||||||
Government National Mortgage Association |
1.450 | % | 1/16/63 | 3,915,955 | 2,830,179 | |||||||||||
Government National Mortgage Association |
0.840 | % | 5/16/60 | 14,130,921 | 775,246 | (c) | ||||||||||
Government National Mortgage Association |
2.500 | % | 8/20/50 | 2,953,213 | 385,962 | |||||||||||
Government National Mortgage Association |
2.500 | % | 8/20/50 | 9,610,699 | 1,295,700 | |||||||||||
Government National Mortgage Association |
2.500 | % | 8/20/50 | 4,533,524 | 617,834 | |||||||||||
Government National Mortgage Association |
2.500 | % | 9/20/50 | 4,297,567 | 588,162 | |||||||||||
Government National Mortgage Association |
0.940 | % | 6/16/62 | 17,203,983 | 1,057,842 | (c) | ||||||||||
Government National Mortgage Association |
2.500 | % | 10/20/50 | 3,186,658 | 432,774 | |||||||||||
Government National Mortgage Association |
2.500 | % | 10/20/50 | 4,454,535 | 633,900 | |||||||||||
Government National Mortgage Association |
2.500 | % | 10/20/50 | 14,930,400 | 1,987,323 | |||||||||||
Government National Mortgage Association |
2.000 | % | 12/20/50 | 33,060,073 | 3,573,143 | |||||||||||
Government National Mortgage Association |
0.913 | % | 11/16/60 | 5,629,863 | 336,602 | (c) | ||||||||||
Government National Mortgage Association |
0.926 | % | 12/16/62 | 77,391,582 | 4,970,606 | (c) |
See Notes to Schedule of Investments.
54 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) |
||||||||||||||||
Government National Mortgage Association |
4.849 | % | 5/20/70 | $ | 8,672,250 | $ | 8,613,023 | (c) | ||||||||
Government National Mortgage Association |
6.682 | % | 4/20/70 | 6,676,939 | 6,735,025 | (c) | ||||||||||
Government National Mortgage Association |
5.531 | % | 7/20/70 | 1,896,748 | 1,847,450 | (c) | ||||||||||
Government National Mortgage Association |
5.000 | % | 7/20/70 | 2,923,197 | 2,832,209 | (c) | ||||||||||
Government National Mortgage Association |
4.941 | % | 7/20/70 | 22,543,037 | 21,869,536 | (c) | ||||||||||
Government National Mortgage Association |
1.500 | % | 6/16/63 | 843,659 | 604,209 | |||||||||||
Government National Mortgage Association |
5.000 | % | 1/20/51 | 447,636 | 437,832 | |||||||||||
Government National Mortgage Association |
1.340 | % | 6/16/63 | 7,532,651 | 5,522,613 | |||||||||||
Government National Mortgage Association |
1.400 | % | 6/16/63 | 1,046,264 | 770,785 | |||||||||||
Government National Mortgage Association |
5.000 | % | 2/20/51 | 523,514 | 501,292 | |||||||||||
Government National Mortgage Association |
2.500 | % | 2/20/51 | 24,223,464 | 4,032,480 | |||||||||||
Government National Mortgage Association |
0.805 | % | 1/16/61 | 16,394,626 | 941,461 | (c) | ||||||||||
Government National Mortgage Association |
0.826 | % | 5/16/63 | 15,925,827 | 930,406 | (c) | ||||||||||
Government National Mortgage Association |
0.870 | % | 10/16/62 | 13,549,685 | 813,988 | (c) | ||||||||||
Government National Mortgage Association |
1.250 | % | 7/20/50 | 3,529,425 | 2,638,758 | |||||||||||
Government National Mortgage Association |
2.500 | % | 5/20/51 | 8,598,324 | 907,644 | |||||||||||
Government National Mortgage Association |
2.000 | % | 10/20/51 | 5,377,121 | 4,360,853 | |||||||||||
Government National Mortgage Association |
2.000 | % | 6/20/51 | 21,687,166 | 18,209,256 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
55 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
Government National Mortgage Association (GNMA), 2022-3 B |
1.850 | % | 2/16/61 | $ | 7,849,057 | $ | 3,540,261 | |||||||||
Government National Mortgage Association (GNMA), 2022-3 IO, IO |
0.640 | % | 2/16/61 | 66,203,262 | 3,294,652 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2022-55 IO, IO |
0.567 | % | 1/16/63 | 14,621,415 | 682,399 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2022-59 IO, IO |
0.571 | % | 2/16/62 | 30,680,368 | 1,505,578 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2022-63 LM |
3.500 | % | 10/20/50 | 13,286,616 | 10,487,691 | |||||||||||
Government National Mortgage Association (GNMA), 2022-99 JW |
2.500 | % | 1/20/52 | 1,000,000 | 763,565 | |||||||||||
Government National Mortgage Association (GNMA), 2022-139 AL |
4.000 | % | 7/20/51 | 10,400,000 | 8,965,767 | |||||||||||
Government National Mortgage Association (GNMA), 2022-189 PT |
2.500 | % | 10/20/51 | 13,495,272 | 10,688,844 | |||||||||||
Government National Mortgage Association (GNMA), 2022-196 BE |
3.000 | % | 10/16/64 | 9,200,000 | 6,235,885 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2022-210 IO, IO |
0.695 | % | 7/16/64 | 8,428,735 | 537,523 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2022-216 IO, IO |
0.750 | % | 7/16/65 | 7,458,918 | 476,095 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2022-220 E |
3.000 | % | 10/16/64 | 7,700,000 | 5,336,325 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2023-92 AH |
2.000 | % | 6/16/64 | 44,258,305 | 31,640,006 | |||||||||||
Government National Mortgage Association (GNMA), 2023-92 IA, IO |
0.611 | % | 6/16/64 | 67,457,114 | 4,144,896 | (c) | ||||||||||
GS Mortgage Securities Corp. Trust, 2018- RIVR D (1 mo. Term SOFR + 1.631%) |
6.964 | % | 7/15/35 | 11,033,000 | 5,283,524 | (b)(c) | ||||||||||
GS Mortgage Securities Corp. Trust, 2018- SRP5 A (1 mo. Term SOFR + 1.914%) |
7.247 | % | 9/15/31 | 23,499,595 | 19,630,552 | (b)(c) | ||||||||||
GS Mortgage Securities Corp. Trust, 2018- SRP5 B (1 mo. Term SOFR + 3.114%) |
8.447 | % | 9/15/31 | 28,427,389 | 15,522,017 | (b)(c) | ||||||||||
GS Mortgage Securities Trust, 2013-GC16 B |
5.161 | % | 11/10/46 | 712,132 | 707,537 | (c) | ||||||||||
GS Mortgage Securities Trust, 2017-GS8 A4 |
3.469 | % | 11/10/50 | 10,290,000 | 9,310,470 | |||||||||||
HarborView Mortgage Loan Trust, 2005-9 2A1B (1 mo. Term SOFR + 0.854%) |
6.179 | % | 6/20/35 | 3,061,603 | 2,768,263 | (c) | ||||||||||
IndyMac INDX Mortgage Loan Trust, 2005- AR15 A2 |
3.755 | % | 9/25/35 | 12,158 | 10,619 | (c) |
See Notes to Schedule of Investments.
56 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
INTOWN Mortgage Trust, 2022-STAY A (1 mo. Term SOFR + 2.489%) |
7.821 | % | 8/15/39 | $ | 6,000,000 | $ | 6,019,614 | (b)(c) | ||||||||
JPMBB Commercial Mortgage Securities Trust, 2013-C14 B |
4.385 | % | 8/15/46 | 101,574 | 94,895 | (c) | ||||||||||
JPMBB Commercial Mortgage Securities Trust, 2013-C17 B |
5.032 | % | 1/15/47 | 439,000 | 397,936 | (c) | ||||||||||
JPMBB Commercial Mortgage Securities Trust, 2014-C22 C |
4.700 | % | 9/15/47 | 1,379,000 | 1,066,313 | (c) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
3.216 | % | 4/15/46 | 570,552 | 538,601 | |||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2015-FL7 D (PRIME + 0.693%) |
9.193 | % | 5/15/28 | 2,186,936 | 1,945,936 | (b)(c) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2022-NLP A (1 mo. Term SOFR + 0.597%) |
5.929 | % | 4/15/37 | 7,322,097 | 6,751,306 | (b)(c) | ||||||||||
JPMorgan Mortgage Trust, 2018-3 A1 |
3.500 | % | 9/25/48 | 4,712,965 | 4,051,484 | (b)(c) | ||||||||||
JPMorgan Mortgage Trust, 2018-5 A1 |
3.500 | % | 10/25/48 | 4,292,221 | 3,666,662 | (b)(c) | ||||||||||
Legacy Mortgage Asset Trust, 2020-GS5 A1, Step bond (6.250% to 8/25/24 then 7.250%) |
6.250 | % | 6/25/60 | 6,685,470 | 6,619,105 | (b) | ||||||||||
Legacy Mortgage Asset Trust, 2021-GS1 A1, Step bond (1.892% to 1/25/24, 4.892% to 1/25/25 then 5.892%) |
1.892 | % | 10/25/66 | 13,741,395 | 12,784,000 | (b) | ||||||||||
Legacy Mortgage Asset Trust, 2021-GS2 A1, Step bond (1.750% to 4/25/24, 4.750% to 4/25/25 then 5.750%) |
1.750 | % | 4/25/61 | 7,195,169 | 6,680,005 | (b) | ||||||||||
MASTR Reperforming Loan Trust, 2005-2 1A1F (1 mo. Term SOFR + 0.464%) |
5.784 | % | 5/25/35 | 321,438 | 169,811 | (b)(c) | ||||||||||
Merrill Lynch Mortgage Investors Trust, 2005-A9 3A1 |
5.045 | % | 12/25/35 | 11,143 | 5,908 | (c) | ||||||||||
Merrill Lynch Mortgage Investors Trust, 2006-1 1A |
4.227 | % | 2/25/36 | 9,778 | 9,069 | (c) | ||||||||||
MHC Trust, 2021-MHC2 A (1 mo. Term SOFR + 0.964%) |
6.296 | % | 5/15/38 | 4,575,276 | 4,505,433 | (b)(c) | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C34 B |
4.111 | % | 11/15/52 | 1,260,000 | 1,079,207 | (c) | ||||||||||
Morgan Stanley Capital I Trust, 2017-ASHF A |
6.355 | % | 11/15/34 | 1,971,021 | 1,953,382 | (b)(c) | ||||||||||
Morgan Stanley Capital I Trust, 2019-BPR A |
7.322 | % | 5/15/36 | 15,222,188 | 14,667,758 | (b)(c) |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
57 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
Morgan Stanley Capital I Trust, 2019-L2 XA, IO |
1.168 | % | 3/15/52 | $ | 41,006,486 | $ | 1,680,118 | (c) | ||||||||
Morgan Stanley Mortgage Loan Trust, 2005- 3AR 2A2 |
3.269 | % | 7/25/35 | 233,462 | 202,042 | (c) | ||||||||||
MSCG Trust, 2015-ALDR A2 |
3.577 | % | 6/7/35 | 6,358,000 | 5,854,531 | (b)(c) | ||||||||||
NAAC Reperforming Loan REMIC Certificates Trust, 2004-R3 A1 |
6.500 | % | 2/25/35 | 99,343 | 87,547 | (b) | ||||||||||
Natixis Commercial Mortgage Securities Trust, 2019-FAME A |
3.047 | % | 8/15/36 | 15,583,000 | 13,824,008 | (b) | ||||||||||
New Residential Mortgage Loan Trust, 2018-1A A1A |
4.000 | % | 12/25/57 | 6,307,170 | 5,884,429 | (b)(c) | ||||||||||
New Residential Mortgage Loan Trust, 2019-3A A1A |
3.750 | % | 11/25/58 | 8,708,945 | 7,920,150 | (b)(c) | ||||||||||
New Residential Mortgage Loan Trust, 2019-RPL3 A1 |
2.750 | % | 7/25/59 | 22,529,427 | 20,908,344 | (b)(c) | ||||||||||
New Residential Mortgage Loan Trust, 2021-NQM3 A1 |
1.156 | % | 11/27/56 | 10,132,379 | 8,183,259 | (b)(c) | ||||||||||
New Residential Mortgage Loan Trust, 2022-NQM3 A1, Step bond (3.900% to 5/25/26 then 4.990%) |
3.900 | % | 4/25/62 | 15,338,517 | 13,523,869 | (b) | ||||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, 2005-AP2 A5 |
5.476 | % | 5/25/35 | 46,381 | 23,991 | |||||||||||
NYMT Loan Trust, 2020-SP2 A1 |
2.944 | % | 10/25/60 | 21,314,926 | 21,235,429 | (b)(c) | ||||||||||
NYMT Loan Trust, 2022-CP1 A1 |
2.042 | % | 7/25/61 | 13,748,701 | 12,241,429 | (b) | ||||||||||
OBX Trust, 2021-NQM3 A3 |
1.362 | % | 7/25/61 | 7,259,193 | 5,356,334 | (b)(c) | ||||||||||
OBX Trust, 2022-NQM1 A1 |
2.305 | % | 11/25/61 | 16,304,433 | 13,568,757 | (b)(c) | ||||||||||
OBX Trust, 2023-NQM7 A1 |
6.844 | % | 4/25/63 | 20,930,000 | 20,980,203 | (b) | ||||||||||
OPG Trust, 2021-PORT A (1 mo. Term SOFR + 0.598%) |
5.931 | % | 10/15/36 | 14,775,049 | 14,409,990 | (b)(c) | ||||||||||
Prime Mortgage Trust, 2006-DR1 2A2 |
6.000 | % | 5/25/35 | 10,226,122 | 7,737,890 | (b) | ||||||||||
PRKCM Trust, 2021-AFC1 A1 |
1.510 | % | 8/25/56 | 8,229,185 | 6,331,141 | (b)(c) | ||||||||||
PRKCM Trust, 2021-AFC2 A1 |
2.071 | % | 11/25/56 | 10,504,041 | 8,588,152 | (b)(c) | ||||||||||
SBALR Commercial Mortgage Trust, 2020- RR1 A3 |
2.825 | % | 2/13/53 | 21,202,523 | 16,676,336 | (b) | ||||||||||
SG Residential Mortgage Trust, 2022-1 A1 |
3.166 | % | 3/27/62 | 8,741,167 | 7,568,248 | (b)(c) | ||||||||||
SG Residential Mortgage Trust, 2022-2 A1 |
5.353 | % | 8/25/62 | 29,266,859 | 28,361,972 | (b) | ||||||||||
SHOW Trust, 2022 BIZ A (1 mo. Term SOFR + 2.984%) |
8.314 | % | 1/15/27 | 11,250,000 | 10,759,252 | (b)(c) | ||||||||||
SMRT, 2022-MINI A (1 mo. Term SOFR + 1.000%) |
6.333 | % | 1/15/39 | 20,410,000 | 19,899,850 | (b)(c) |
See Notes to Schedule of Investments.
58 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued) | ||||||||||||||||
Soho Trust, 2021-SOHO A |
2.786 | % | 8/10/38 | $ | 34,000,000 | $ | 23,477,473 | (b)(c) | ||||||||
Towd Point Mortgage Trust, 2017-6 M1 |
3.250 | % | 10/25/57 | 18,080,000 | 15,568,109 | (b)(c) | ||||||||||
Towd Point Mortgage Trust, 2022-4 A1 |
3.750 | % | 9/25/62 | 14,847,996 | 13,428,549 | (b) | ||||||||||
UBS Commercial Mortgage Trust, 2018-C11 B |
4.713 | % | 6/15/51 | 1,430,000 | 1,180,805 | (c) | ||||||||||
UBS Commercial Mortgage Trust, 2018-C15 C |
5.323 | % | 12/15/51 | 2,960,000 | 2,364,539 | (c) | ||||||||||
VLS Commercial Mortgage Trust, 2020-LAB A |
2.130 | % | 10/10/42 | 36,680,000 | 28,006,478 | (b) | ||||||||||
VLS Commercial Mortgage Trust, 2020-LAB B |
2.453 | % | 10/10/42 | 2,250,000 | 1,701,763 | (b) | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, 2003-AR9 1A7 |
5.683 | % | 9/25/33 | 4,884 | 4,498 | (c) | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, 2007-HY4 4A1 |
3.995 | % | 9/25/36 | 55,166 | 47,213 | (c) | ||||||||||
Waterfall Commercial Mortgage Trust, 2015-SBC5 A |
4.104 | % | 12/31/23 | 365,210 | 348,662 | (b)(c) | ||||||||||
Wells Fargo Commercial Mortgage Trust, 2014-LC18 B |
3.959 | % | 12/15/47 | 2,066,000 | 1,909,874 | |||||||||||
Wells Fargo Commercial Mortgage Trust, 2015-NXS1 XA, IO |
1.197 | % | 5/15/48 | 28,385,041 | 285,185 | (c) | ||||||||||
Wells Fargo Commercial Mortgage Trust, 2019-C49 B |
4.546 | % | 3/15/52 | 7,160,000 | 5,986,071 | |||||||||||
Wells Fargo Commercial Mortgage Trust, 2021-C60 XA, IO |
1.653 | % | 8/15/54 | 97,699,724 | 7,483,428 | (c) | ||||||||||
Wells Fargo Commercial Mortgage Trust, 2022-JS2 A |
3.084 | % | 12/15/39 | 7,480,000 | 5,903,031 | (b) | ||||||||||
WFRBS Commercial Mortgage Trust, 2014- C19 B |
4.723 | % | 3/15/47 | 224,000 | 209,637 | (c) | ||||||||||
WFRBS Commercial Mortgage Trust, 2014- C19 XA, IO |
1.110 | % | 3/15/47 | 4,530,218 | 6,705 | (c) | ||||||||||
WFRBS Commercial Mortgage Trust, 2014- C21 B |
4.213 | % | 8/15/47 | 4,621,000 | 4,187,621 | (c) | ||||||||||
WFRBS Commercial Mortgage Trust, 2014- C21 XA, IO |
1.146 | % | 8/15/47 | 20,610,188 | 139,910 | (c) | ||||||||||
WFRBS Commercial Mortgage Trust, 2014- C24 AS |
3.931 | % | 11/15/47 | 2,611,000 | 2,360,213 | |||||||||||
|
|
|||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
1,840,333,114 | ||||||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
59 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 8.3% | ||||||||||||||||
U.S. Government Agencies - 0.2% |
||||||||||||||||
Federal National Mortgage Association (FNMA), Notes |
6.625 | % | 11/15/30 | $ | 18,010,000 | $ | 19,947,495 | |||||||||
|
|
|||||||||||||||
U.S. Government Obligations - 8.1% |
||||||||||||||||
U.S. Treasury Bonds |
1.125 | % | 8/15/40 | 49,340,000 | 28,067,907 | |||||||||||
U.S. Treasury Bonds |
2.250 | % | 5/15/41 | 58,290,000 | 40,017,451 | |||||||||||
U.S. Treasury Bonds |
3.250 | % | 5/15/42 | 350,000 | 278,981 | |||||||||||
U.S. Treasury Bonds |
3.375 | % | 8/15/42 | 125,000,000 | 101,306,152 | |||||||||||
U.S. Treasury Bonds |
4.000 | % | 11/15/42 | 162,710,000 | 144,443,261 | (a)(k) | ||||||||||
U.S. Treasury Bonds |
3.875 | % | 2/15/43 | 5,000,000 | 4,352,344 | |||||||||||
U.S. Treasury Bonds |
3.875 | % | 5/15/43 | 28,060,000 | 24,399,047 | |||||||||||
U.S. Treasury Bonds |
4.375 | % | 8/15/43 | 58,080,000 | 54,195,900 | (f) | ||||||||||
U.S. Treasury Bonds |
3.625 | % | 2/15/44 | 51,890,000 | 43,162,954 | (a)(k) | ||||||||||
U.S. Treasury Bonds |
3.375 | % | 5/15/44 | 4,670,000 | 3,728,065 | |||||||||||
U.S. Treasury Bonds |
3.125 | % | 8/15/44 | 6,050,000 | 4,624,469 | |||||||||||
U.S. Treasury Bonds |
2.875 | % | 8/15/45 | 108,520,000 | 78,634,610 | (k) | ||||||||||
U.S. Treasury Bonds |
3.000 | % | 2/15/48 | 63,390,000 | 46,391,080 | |||||||||||
U.S. Treasury Bonds |
3.000 | % | 2/15/49 | 38,220,000 | 27,943,896 | |||||||||||
U.S. Treasury Bonds |
1.375 | % | 8/15/50 | 14,705,000 | 7,180,176 | |||||||||||
U.S. Treasury Bonds |
1.625 | % | 11/15/50 | 177,590,000 | 93,064,791 | |||||||||||
U.S. Treasury Bonds |
1.875 | % | 2/15/51 | 280,310,000 | 157,176,169 | |||||||||||
U.S. Treasury Bonds |
2.375 | % | 5/15/51 | 26,160,000 | 16,597,294 | |||||||||||
U.S. Treasury Bonds |
3.000 | % | 8/15/52 | 10,980,000 | 8,003,819 | |||||||||||
U.S. Treasury Bonds |
4.000 | % | 11/15/52 | 78,910,000 | 69,958,647 | |||||||||||
U.S. Treasury Bonds |
3.625 | % | 2/15/53 | 38,338,000 | 31,715,709 | |||||||||||
U.S. Treasury Bonds |
3.625 | % | 5/15/53 | 174,130,000 | 144,215,009 | |||||||||||
U.S. Treasury Bonds |
4.125 | % | 8/15/53 | 15,330,000 | 13,919,161 | |||||||||||
U.S. Treasury Notes |
5.000 | % | 8/31/25 | 290,000 | 289,434 | |||||||||||
U.S. Treasury Notes |
4.625 | % | 9/15/26 | 110,000 | 109,467 | |||||||||||
U.S. Treasury Notes |
4.375 | % | 8/31/28 | 20,000 | 19,803 | |||||||||||
U.S. Treasury Notes |
3.375 | % | 5/15/33 | 4,680,000 | 4,244,906 | |||||||||||
U.S. Treasury Notes |
3.875 | % | 8/15/33 | 7,120,000 | 6,728,400 | |||||||||||
|
|
|||||||||||||||
Total U.S. Government Obligations |
1,154,768,902 | |||||||||||||||
|
|
|||||||||||||||
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS |
|
1,174,716,397 | ||||||||||||||
|
|
|||||||||||||||
ASSET-BACKED SECURITIES - 6.8% | ||||||||||||||||
522 Funding CLO Ltd., 2020-6A A1R (3 mo. Term SOFR + 1.412%) |
6.757 | % | 10/23/34 | 21,870,000 | 21,730,070 | (b)(c) | ||||||||||
AB BSL CLO Ltd., 2023-4A A (3 mo. Term SOFR + 2.000%) |
6.957 | % | 4/20/36 | 3,540,000 | 3,546,195 | (b)(c) |
See Notes to Schedule of Investments.
60 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
AIMCO CLO, 2017-AA AR (3 mo. Term SOFR + 1.312%) |
6.638 | % | 4/20/34 | $ | 400,000 | $ | 397,002 | (b)(c) | ||||||||
AMMC CLO Ltd., 2012-11A A1R2 (3 mo. Term SOFR + 1.272%) |
6.641 | % | 4/30/31 | 1,440,679 | 1,436,681 | (b)(c) | ||||||||||
Amortizing Residential Collateral Trust, 2002-BC5 M1 (1 mo. Term SOFR + 1.149%) |
6.469 | % | 7/25/32 | 42,931 | 43,066 | (c) | ||||||||||
Apidos CLO, 2021-35A A (3 mo. Term SOFR + 1.312%) |
6.638 | % | 4/20/34 | 4,300,000 | 4,271,124 | (b)(c) | ||||||||||
Aqua Finance Trust, 2021-A A |
1.540 | % | 7/17/46 | 7,789,167 | 6,851,708 | (b) | ||||||||||
Arbor Realty Commercial Real Estate Notes Ltd., 2022-FL1 A (30 Day Average SOFR + 1.450%) |
6.763 | % | 1/15/37 | 8,850,000 | 8,753,093 | (b)(c) | ||||||||||
Arbys Funding LLC, 2020-1A A2 |
3.237 | % | 7/30/50 | 873,000 | 776,341 | (b) | ||||||||||
Ares CLO Ltd., 2022-63A A1A (3 mo. Term SOFR + 1.380%) |
6.706 | % | 4/20/35 | 9,450,000 | 9,382,704 | (b)(c) | ||||||||||
Argent Securities Trust, 2006-W4 A2B (1 mo. Term SOFR + 0.334%) |
5.654 | % | 5/25/36 | 93,735 | 22,899 | (c) | ||||||||||
Atrium, 9AAR2 (3 mo. Term SOFR + 1.252%) |
6.640 | % | 5/28/30 | 1,064,539 | 1,062,141 | (b)(c) | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, 2023-1A A |
5.250 | % | 4/20/29 | 11,401,000 | 11,045,007 | (b) | ||||||||||
Balboa Bay Loan Funding Ltd., 2021-2A A1 (3 mo. Term SOFR + 1.432%) |
6.765 | % | 1/20/35 | 10,520,000 | 10,478,391 | (b)(c) | ||||||||||
Ballyrock CLO Ltd., 2019-2A A1BR (3 mo. Term SOFR + 1.462%) |
6.841 | % | 11/20/30 | 930,000 | 927,756 | (b)(c) | ||||||||||
Barings Private Credit Corp. CLO Ltd., 2023-1A A1 (3 mo. Term SOFR + 2.400%) |
7.807 | % | 7/15/31 | 4,650,000 | 4,652,213 | (b)(c) | ||||||||||
Battery Park CLO Ltd., 2022-1A A1 (3 mo. Term SOFR + 2.210%) |
7.536 | % | 10/20/35 | 17,010,000 | 17,085,922 | (b)(c) | ||||||||||
BCRED MML CLO LLC, 2021-1A A (3 mo. Term SOFR + 1.742%) |
7.050 | % | 1/15/35 | 14,260,000 | 14,117,400 | (b)(c) | ||||||||||
BCRED MML CLO LLC, 2022-1A A1 (3 mo. Term SOFR + 1.650%) |
6.976 | % | 4/20/35 | 8,380,000 | 8,224,491 | (b)(c) | ||||||||||
Bear Stearns Asset Backed Securities Trust, 2004-HE10 M1 (1 mo. Term SOFR + 1.089%) |
5.628 | % | 12/25/34 | 2,682,532 | 2,650,773 | (c) | ||||||||||
Benefit Street Partners CLO Ltd., 2014-IVA ARRR (3 mo. Term SOFR + 1.442%) |
6.768 | % | 1/20/32 | 6,000,000 | 5,994,866 | (b)(c)(l) | ||||||||||
Birch Grove CLO Ltd., 2023-6A A1 (3 mo. Term SOFR + 2.200%) |
7.489 | % | 7/20/35 | 15,040,000 | 15,145,202 | (b)(c) | ||||||||||
Blackbird Capital Aircraft, 2021-1A A |
2.443 | % | 7/15/46 | 10,869,220 | 9,297,823 | (b) |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
61 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
BlueMountain CLO Ltd., 2021-28A A (3 mo. Term SOFR + 1.522%) |
6.830 | % | 4/15/34 | $ | 10,470,000 | $ | 10,363,173 | (b)(c) | ||||||||
Brightwood Capital MM CLO Ltd., 2023-1A A1A (3 mo. Term SOFR + 2.750%) |
8.151 | % | 10/15/35 | 4,610,000 | 4,610,000 | (b)(c) | ||||||||||
Canyon CLO Ltd., 2020-1A AR (3 mo. Term SOFR + 1.442%) |
6.750 | % | 7/15/34 | 5,980,000 | 5,931,010 | (b)(c) | ||||||||||
Carlyle Global Market Strategies CLO Ltd., 2014-3RA A1A (3 mo. Term SOFR + 1.312%) |
6.669 | % | 7/27/31 | 8,445,455 | 8,443,732 | (b)(c) | ||||||||||
Carlyle US CLO Ltd., 2018-2A A2 (3 mo. Term SOFR + 1.862%) |
7.170 | % | 10/15/31 | 4,050,000 | 4,033,294 | (b)(c) | ||||||||||
Catskill Park CLO Ltd., 2017-1A A2 (3 mo. Term SOFR + 1.962%) |
7.288 | % | 4/20/29 | 6,105,000 | 6,098,378 | (b)(c) | ||||||||||
Cayuga Park CLO Ltd., 2020-1A AR (3 mo. Term SOFR + 1.382%) |
6.690 | % | 7/17/34 | 24,240,000 | 24,075,729 | (b)(c) | ||||||||||
CBAM Ltd., 2017-1A A1 (3 mo. Term SOFR + 1.512%) |
6.838 | % | 7/20/30 | 870,932 | 871,620 | (b)(c) | ||||||||||
Cedar Funding CLO Ltd., 2016-5A AFRR |
1.937 | % | 7/17/31 | 6,920,000 | 6,435,492 | (b) | ||||||||||
CIFC Funding Ltd., 2017-1A AR (3 mo. Term SOFR + 1.272%) |
6.605 | % | 4/23/29 | 1,193,477 | 1,194,089 | (b)(c) | ||||||||||
College Ave Student Loans LLC, 2019-A A1 (1 mo. Term SOFR + 1.514%) |
6.834 | % | 12/28/48 | 6,459,998 | 6,437,927 | (b)(c) | ||||||||||
College Ave Student Loans LLC, 2021-C C |
3.060 | % | 7/26/55 | 3,163,000 | 2,688,544 | (b) | ||||||||||
Commonbond Student Loan Trust, 2020-1 A |
1.690 | % | 10/25/51 | 4,877,784 | 4,114,644 | (b) | ||||||||||
Conseco Finance Corp., 1996-5 B1 |
8.100 | % | 7/15/26 | 56,226 | 24,495 | (c) | ||||||||||
Credit-Based Asset Servicing & Securitization LLC, 1999-3 A |
0.000 | % | 2/3/29 | 617 | 495 | (b)(c) | ||||||||||
Dividend Solar Loans LLC, 2019-1 A |
3.670 | % | 8/22/39 | 5,783,518 | 4,942,699 | (b) | ||||||||||
Dominos Pizza Master Issuer LLC, 2018-1A A2II |
4.328 | % | 7/25/48 | 1,309,687 | 1,219,324 | (b) | ||||||||||
Dryden CLO Ltd., 2021-87A A1 (3 mo. Term SOFR + 1.362%) |
6.741 | % | 5/20/34 | 28,030,000 | 27,820,893 | (b)(c) | ||||||||||
ECMC Group Student Loan Trust, 2020-2A A (30 Day Average SOFR + 1.264%) |
6.579 | % | 11/25/69 | 3,620,310 | 3,601,760 | (b)(c) | ||||||||||
Empower CLO Ltd., 2023-2A A1 (3 mo. Term SOFR + 2.200%) |
7.540 | % | 7/15/36 | 10,100,000 | 10,122,653 | (b)(c) | ||||||||||
Enterprise Fleet Financing LLC, 2023-1 A2 |
5.510 | % | 1/22/29 | 4,310,000 | 4,276,301 | (b) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Structured Pass-Through Certificates FRESR, 2017-SR01 A3 |
3.089 | % | 11/25/27 | 313,290 | 288,370 | |||||||||||
Federal National Mortgage Association (FNMA) Grantor Trust, 2017-T1 A |
2.898 | % | 6/25/27 | 1,319,143 | 1,209,074 |
See Notes to Schedule of Investments.
62 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
Five Guys Funding LLC, 2017-1A A2 |
4.600 | % | 7/25/47 | $ | 9,850,000 | $ | 9,694,230 | (b) | ||||||||
Ford Credit Auto Owner Trust, 2023-1 A |
4.850 | % | 8/15/35 | 9,680,000 | 9,389,055 | (b) | ||||||||||
Ford Credit Floorplan Master Owner Trust, 2018-4 A |
4.060 | % | 11/15/30 | 21,335,000 | 19,867,152 | |||||||||||
Ford Credit Floorplan Master Owner Trust, 2023-1 A1 |
4.920 | % | 5/15/28 | 12,320,000 | 12,105,099 | (b) | ||||||||||
Fortress Credit BSL Ltd., 2019-1A A2 (3 mo. Term SOFR + 2.262%) |
7.607 | % | 7/23/32 | 6,717,000 | 6,726,865 | (b)(c) | ||||||||||
GoldenTree Loan Management US CLO Ltd., 2019-4A AR (3 mo. Term SOFR + 1.372%) |
6.717 | % | 4/24/31 | 4,350,000 | 4,348,980 | (b)(c) | ||||||||||
GoldenTree Loan Management US CLO Ltd., 2021-10A A (3 mo. Term SOFR + 1.362%) |
6.688 | % | 7/20/34 | 6,590,000 | 6,581,445 | (b)(c) | ||||||||||
GoldenTree Loan Opportunities Ltd., 2014-9A BR2 (3 mo. Term SOFR + 1.862%) |
7.231 | % | 10/29/29 | 6,390,000 | 6,400,462 | (b)(c) | ||||||||||
Golub Capital Partners CLO Ltd., 2015-25A AR (3 mo. Term SOFR + 1.642%) |
7.011 | % | 5/5/30 | 8,195,911 | 8,183,122 | (b)(c) | ||||||||||
Golub Capital Partners CLO Ltd., 2019-41A AR (3 mo. Term SOFR + 1.582%) |
6.908 | % | 1/20/34 | 6,170,000 | 6,169,837 | (b)(c) | ||||||||||
Golub Capital Partners CLO Ltd., 2019-45A A (3 mo. Term SOFR + 1.982%) |
7.308 | % | 10/20/31 | 10,568,000 | 10,589,514 | (b)(c) | ||||||||||
Golub Capital Partners CLO Ltd., 2020-47A C1 (3 mo. Term SOFR + 3.512%) |
8.881 | % | 5/5/32 | 1,250,000 | 1,227,803 | (b)(c) | ||||||||||
Golub Capital Partners CLO Ltd., 2021-57A A1 (3 mo. Term SOFR + 1.752%) |
7.103 | % | 10/25/34 | 11,580,000 | 11,429,374 | (b)(c) | ||||||||||
Golub Capital Partners CLO Ltd., 2023-66A A (3 mo. Term SOFR + 1.950%) |
6.926 | % | 4/25/36 | 5,790,000 | 5,802,823 | (b)(c) | ||||||||||
Goodgreen Trust, 2017-2A A |
3.260 | % | 10/15/53 | 678,187 | 602,778 | (b) | ||||||||||
Goodgreen Trust, 2019-2A A |
2.760 | % | 4/15/55 | 3,912,663 | 3,305,031 | (b) | ||||||||||
Great Lakes Kcap F3c Senior LLC, 2017-1A A (3 mo. Term SOFR + 2.162%) |
7.559 | % | 12/20/29 | 7,309,033 | 7,324,073 | (b)(c) | ||||||||||
Greenwood Park CLO Ltd., 2018-1A A2 (3 mo. Term SOFR + 1.272%) |
6.580 | % | 4/15/31 | 6,680,000 | 6,675,257 | (b)(c) | ||||||||||
Greywolf CLO Ltd., 2015-1A A1R (3 mo. Term SOFR + 1.422%) |
6.773 | % | 1/27/31 | 15,000,000 | 14,979,360 | (b)(c) | ||||||||||
Grippen Park CLO Ltd., 2017-1A A (3 mo. Term SOFR + 1.522%) |
6.848 | % | 1/20/30 | 4,675,815 | 4,674,268 | (b)(c) | ||||||||||
Halsey Point CLO Ltd., 2019-1A A1A1 (3 mo. Term SOFR + 1.612%) |
6.938 | % | 1/20/33 | 1,420,000 | 1,417,922 | (b)(c) | ||||||||||
Halsey Point CLO Ltd., 2020-3A A1A (3 mo. Term SOFR + 1.712%) |
7.081 | % | 11/30/32 | 4,900,000 | 4,901,371 | (b)(c) | ||||||||||
Hertz Vehicle Financing LLC, 2022-2A C |
2.950 | % | 6/26/28 | 5,200,000 | 4,496,247 | (b) |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
63 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
HGI CRE CLO Ltd., 2021-FL1 A (1 mo. Term SOFR + 1.164%) |
6.495 | % | 6/16/36 | $ | 2,654,744 | $ | 2,615,852 | (b)(c) | ||||||||
Hildene Community Funding CDO Ltd., 2015-1A ARR |
2.600 | % | 11/1/35 | 21,796,549 | 17,961,311 | (b) | ||||||||||
Jack in the Box Funding LLC, 2022-1A A2I |
3.445 | % | 2/26/52 | 14,191,100 | 12,748,755 | (b) | ||||||||||
JGWPT LLC, 2015-1A B |
4.250 | % | 9/17/74 | 1,037,830 | 840,850 | (b) | ||||||||||
KKR CLO Ltd., 20 A (3 mo. Term SOFR + 1.392%) |
6.700 | % | 10/16/30 | 5,544,565 | 5,537,057 | (b)(c) | ||||||||||
KKR CLO Ltd., 32A A1 (3 mo. Term SOFR + 1.582%) |
6.890 | % | 1/15/32 | 2,230,000 | 2,225,808 | (b)(c) | ||||||||||
KREF Ltd., 2022-FL3 A (1 mo. Term SOFR + 1.450%) |
6.777 | % | 2/17/39 | 13,010,000 | 12,872,966 | (b)(c) | ||||||||||
Loanpal Solar Loan Ltd., 2020-3GS A |
2.470 | % | 12/20/47 | 7,839,441 | 5,923,747 | (b) | ||||||||||
Loanpal Solar Loan Ltd., 2021-1GS A |
2.290 | % | 1/20/48 | 6,441,847 | 4,852,375 | (b) | ||||||||||
Long Beach Mortgage Loan Trust, 2000-1 AV1 (1 mo. Term SOFR + 0.634%) |
5.959 | % | 1/21/31 | 9,650 | 9,570 | (c) | ||||||||||
Magnetite Ltd., 2015-14RA A2 (3 mo. Term SOFR + 1.382%) |
6.692 | % | 10/18/31 | 6,370,000 | 6,373,777 | (b)(c) | ||||||||||
Magnetite Ltd., 2016-17A AR (3 mo. Term SOFR + 1.362%) |
6.688 | % | 7/20/31 | 4,478,000 | 4,470,864 | (b)(c) | ||||||||||
MAPS Trust, 2021-1A A |
2.521 | % | 6/15/46 | 6,389,329 | 5,557,630 | (b) | ||||||||||
Midocean Credit CLO, 2017-7A BR (3 mo. Term SOFR + 1.862%) |
7.170 | % | 7/15/29 | 4,000,000 | 3,991,295 | (b)(c) | ||||||||||
Myers Park CLO Ltd., 2018-1A B1 (3 mo. Term SOFR + 1.862%) |
7.188 | % | 10/20/30 | 6,090,000 | 6,042,558 | (b)(c) | ||||||||||
Navient Private Education Loan Trust, 2020-A A2B (1 mo. Term SOFR + 1.014%) |
6.347 | % | 11/15/68 | 375,462 | 372,124 | (b)(c) | ||||||||||
Navient Private Education Refi Loan Trust, 2020-BA A2 |
2.120 | % | 1/15/69 | 6,232,730 | 5,656,184 | (b) | ||||||||||
Navient Student Loan Trust, 2017-3A A3 (30 Day Average SOFR + 1.164%) |
6.479 | % | 7/26/66 | 8,990,748 | 8,928,875 | (b)(c) | ||||||||||
Nelnet Student Loan Trust, 2007-1 A4 (90 Day Average SOFR + 0.372%) |
5.535 | % | 8/27/36 | 13,756,572 | 13,390,773 | (c) | ||||||||||
Nelnet Student Loan Trust, 2015-2A A2 (30 Day Average SOFR + 0.714%) |
6.029 | % | 9/25/42 | 2,989,488 | 2,933,210 | (b)(c) | ||||||||||
Nelnet Student Loan Trust, 2021-A A2 (1 mo. Term SOFR + 1.144%) |
6.469 | % | 4/20/62 | 12,321,000 | 12,165,991 | (b)(c) | ||||||||||
Ocean Trails CLO, 2020-10A AR (3 mo. Term SOFR + 1.482%) |
6.790 | % | 10/15/34 | 11,745,000 | 11,610,141 | (b)(c) | ||||||||||
Ocean Trails CLO Ltd., 2023-14A A1 (3 mo. Term SOFR + 2.000%) |
7.326 | % | 1/20/35 | 6,500,000 | 6,533,835 | (b)(c) |
See Notes to Schedule of Investments.
64 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
Octagon Investment Partners Ltd., 2014-1A AAR3 (3 mo. Term SOFR + 1.262%) |
6.631 | % | 2/14/31 | $ | 13,480,000 | $ | 13,425,858 | (b)(c) | ||||||||
Octagon Investment Partners Ltd., 2018-1A A1A (3 mo. Term SOFR + 1.322%) |
6.648 | % | 1/20/31 | 16,850,030 | 16,817,325 | (b)(c) | ||||||||||
OHA Credit Funding Ltd., 2020-7A AR (3 mo. Term SOFR + 1.300%) |
6.620 | % | 2/24/37 | 14,230,000 | 14,068,489 | (b)(c) | ||||||||||
OHA Loan Funding Ltd., 2013-2A AR (3 mo. Term SOFR + 1.302%) |
6.679 | % | 5/23/31 | 5,291,250 | 5,291,649 | (b)(c) | ||||||||||
Owl Rock CLO Ltd., 2019-1A A (3 mo. Term SOFR + 2.062%) |
7.441 | % | 5/20/31 | 3,059,086 | 3,061,463 | (b)(c) | ||||||||||
Owl Rock CLO Ltd., 2020-3A A1L (3 mo. Term SOFR + 2.062%) |
7.388 | % | 4/20/32 | 13,250,000 | 13,228,758 | (b)(c) | ||||||||||
Palmer Square CLO Ltd., 2019-1A A1R (3 mo. Term SOFR + 1.412%) |
6.781 | % | 11/14/34 | 17,020,000 | 16,929,754 | (b)(c) | ||||||||||
PEAR LLC, 2021-1 A |
2.600 | % | 1/15/34 | 698,441 | 665,082 | (b) | ||||||||||
Point Au Roche Park CLO Ltd., 2021-1A A (3 mo. Term SOFR + 1.342%) |
6.668 | % | 7/20/34 | 26,070,000 | 25,921,446 | (b)(c) | ||||||||||
RAAC Trust, 2007-RP1 A (1 mo. Term SOFR + 0.694%) |
6.014 | % | 5/25/46 | 223,784 | 223,470 | (b)(c) | ||||||||||
Reese Park CLO Ltd., 2020-1A AR (3 mo. Term SOFR + 1.392%) |
6.700 | % | 10/15/34 | 26,300,000 | 26,132,281 | (b)(c) | ||||||||||
Shackleton CLO Ltd., 2013-3A AR (3 mo. Term SOFR + 1.382%) |
6.690 | % | 7/15/30 | 679,199 | 678,494 | (b)(c) | ||||||||||
Silver Rock CLO Ltd., 2020-1A A (3 mo. Term SOFR + 1.912%) |
7.238 | % | 10/20/31 | 21,740,000 | 21,769,402 | (b)(c) | ||||||||||
SLM Private Education Loan Trust, 2010-C A5 (1 mo. Term SOFR + 4.864%) |
10.197 | % | 10/15/41 | 7,005,298 | 7,409,872 | (b)(c) | ||||||||||
SMB Private Education Loan Trust, 2020- PTA B |
2.500 | % | 9/15/54 | 10,000,000 | 7,789,414 | (b) | ||||||||||
SMB Private Education Loan Trust, 2021-A A2B |
1.590 | % | 1/15/53 | 9,465,257 | 8,216,596 | (b) | ||||||||||
SMB Private Education Loan Trust, 2021-A B |
2.310 | % | 1/15/53 | 15,500,000 | 14,109,890 | (b) | ||||||||||
SMB Private Education Loan Trust, 2021-B A |
1.310 | % | 7/17/51 | 789,954 | 697,744 | (b) | ||||||||||
SMB Private Education Loan Trust, 2021-C A2 (1 mo. Term SOFR + 0.914%) |
6.247 | % | 1/15/53 | 3,038,289 | 2,980,694 | (b)(c) | ||||||||||
SMB Private Education Loan Trust, 2021-C C |
3.000 | % | 1/15/53 | 15,161,971 | 12,923,227 | (b) | ||||||||||
Sound Point CLO Ltd., 2018-2A A (3 mo. Term SOFR + 1.362%) |
6.712 | % | 7/26/31 | 649,000 | 644,894 | (b)(c) | ||||||||||
SpringCastle America Funding LLC, 2020-AA A |
1.970 | % | 9/25/37 | 953,198 | 865,822 | (b) |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
65 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
Structured Asset Investment Loan Trust, 2004-1 A3 (1 mo. Term SOFR + 0.914%) |
6.234 | % | 2/25/34 | $ | 2,064,629 | $ | 2,009,207 | (c) | ||||||||
STWD Ltd., 2022-FL3 A (30 Day Average SOFR + 1.350%) |
6.663 | % | 11/15/38 | 3,850,000 | 3,774,935 | (b)(c) | ||||||||||
Sunrun Atlas Issuer LLC, 2019-2 A |
3.610 | % | 2/1/55 | 3,570,027 | 3,108,115 | (b) | ||||||||||
THL Credit Lake Shore MM CLO Ltd., 2019-1A A1R (3 mo. Term SOFR + 1.962%) |
7.270 | % | 4/15/33 | 6,500,000 | 6,435,939 | (b)(c) | ||||||||||
Thrust Engine Leasing, 2021-1A A |
4.163 | % | 7/15/40 | 9,248,910 | 7,981,439 | (b) | ||||||||||
United States Small Business Administration, 2019-20D 1 |
2.980 | % | 4/1/39 | 1,352,061 | 1,197,930 | |||||||||||
United States Small Business Administration, 2019-25G 1 |
2.690 | % | 7/1/44 | 2,802,459 | 2,358,383 | |||||||||||
Voya CLO Ltd., 2016-3A A1R (3 mo. Term SOFR + 1.452%) |
6.762 | % | 10/18/31 | 6,000,000 | 5,987,748 | (b)(c) | ||||||||||
Voya CLO Ltd., 2017-3A A1R (3 mo. Term SOFR + 1.302%) |
6.628 | % | 4/20/34 | 4,150,000 | 4,114,913 | (b)(c) | ||||||||||
Voya CLO Ltd., 2018-3A A1A (3 mo. Term SOFR + 1.412%) |
6.720 | % | 10/15/31 | 17,080,000 | 17,059,711 | (b)(c) | ||||||||||
Wachovia Student Loan Trust, 2006-1 A6 (90 Day Average SOFR + 0.432%) |
5.486 | % | 4/25/40 | 878,383 | 849,361 | (b)(c) | ||||||||||
Whitebox CLO Ltd., 2019-1A ANAR (3 mo. Term SOFR + 1.392%) |
6.737 | % | 7/24/32 | 10,800,000 | 10,785,136 | (b)(c) | ||||||||||
Whitebox CLO Ltd., 2020-2A A1R (3 mo. Term SOFR + 1.482%) |
6.827 | % | 10/24/34 | 13,740,000 | 13,746,787 | (b)(c) | ||||||||||
Whitebox CLO Ltd., 2021-3A A1 (3 mo. Term SOFR + 1.482%) |
6.790 | % | 10/15/34 | 18,250,000 | 18,108,563 | (b)(c) | ||||||||||
Whitebox CLO Ltd., 2023-4A A1 (3 mo. Term SOFR + 2.150%) |
6.930 | % | 4/20/36 | 10,240,000 | 10,276,150 | (b)(c) | ||||||||||
Wingstop Funding LLC, 2020-1A A2 |
2.841 | % | 12/5/50 | 10,342,500 | 8,982,400 | (b) | ||||||||||
Woodmont Trust, 2023-12A A1A (3 mo. Term SOFR + 2.500%) |
7.620 | % | 7/25/31 | 16,540,000 | 16,596,600 | (b)(c) | ||||||||||
ZAIS CLO Ltd., 2019-13A A1A (3 mo. Term SOFR + 1.752%) |
7.060 | % | 7/15/32 | 8,934,400 | 8,936,281 | (b)(c) | ||||||||||
|
|
|||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
973,365,402 | |||||||||||||||
|
|
|||||||||||||||
SOVEREIGN BONDS - 2.4% | ||||||||||||||||
Brazil - 0.0% |
||||||||||||||||
Brazilian Government International Bond, Senior Notes |
5.000 | % | 1/27/45 | 6,170,000 | 4,582,860 | |||||||||||
|
|
See Notes to Schedule of Investments.
66 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Chile - 0.0% |
||||||||||||||||
Chile Government International Bond, Senior Notes |
3.100 | % | 1/22/61 | $ | 9,270,000 | $ | 5,333,927 | |||||||||
|
|
|||||||||||||||
Colombia - 0.5% |
||||||||||||||||
Colombia Government International Bond, Senior Notes |
3.125 | % | 4/15/31 | 14,920,000 | 11,075,952 | |||||||||||
Colombia Government International Bond, Senior Notes |
3.250 | % | 4/22/32 | 28,210,000 | 20,336,389 | |||||||||||
Colombia Government International Bond, Senior Notes |
4.125 | % | 2/22/42 | 15,000,000 | 9,122,591 | |||||||||||
Colombia Government International Bond, Senior Notes |
5.625 | % | 2/26/44 | 444,000 | 319,038 | |||||||||||
Colombia Government International Bond, Senior Notes |
5.000 | % | 6/15/45 | 10,959,000 | 7,218,943 | |||||||||||
Colombia Government International Bond, Senior Notes |
5.200 | % | 5/15/49 | 26,102,000 | 17,197,448 | |||||||||||
|
|
|||||||||||||||
Total Colombia |
65,270,361 | |||||||||||||||
|
|
|||||||||||||||
India - 0.1% |
||||||||||||||||
Export-Import Bank of India, Senior Notes |
3.375 | % | 8/5/26 | 7,299,000 | 6,859,693 | (b) | ||||||||||
|
|
|||||||||||||||
Indonesia - 0.0% |
||||||||||||||||
Indonesia Government International Bond, Senior Notes |
3.700 | % | 10/30/49 | 7,220,000 | 5,067,297 | |||||||||||
|
|
|||||||||||||||
Israel - 0.3% |
||||||||||||||||
Israel Government International Bond, Senior Notes |
2.750 | % | 7/3/30 | 26,680,000 | 22,719,834 | |||||||||||
Israel Government International Bond, Senior Notes |
4.500 | % | 4/3/2120 | 11,700,000 | 8,455,871 | |||||||||||
State of Israel, Senior Notes |
3.375 | % | 1/15/50 | 5,060,000 | 3,373,037 | |||||||||||
State of Israel, Senior Notes |
3.800 | % | 5/13/60 | 3,000,000 | 2,007,273 | (e) | ||||||||||
|
|
|||||||||||||||
Total Israel |
36,556,015 | |||||||||||||||
|
|
|||||||||||||||
Kazakhstan - 0.1% |
||||||||||||||||
Kazakhstan Government International Bond, Senior Notes |
4.875 | % | 10/14/44 | 24,162,000 | 20,804,207 | (b) | ||||||||||
|
|
|||||||||||||||
Mexico - 0.7% |
||||||||||||||||
Mexico Government International Bond, Senior Notes |
2.659 | % | 5/24/31 | 8,882,000 | 7,030,402 | |||||||||||
Mexico Government International Bond, Senior Notes |
6.050 | % | 1/11/40 | 100,000 | 92,661 | |||||||||||
Mexico Government International Bond, Senior Notes |
4.750 | % | 3/8/44 | 48,464,000 | 37,324,322 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
67 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Mexico - (continued) |
||||||||||||||||
Mexico Government International Bond, Senior Notes |
4.600 | % | 1/23/46 | $ | 17,344,000 | $ | 12,844,913 | |||||||||
Mexico Government International Bond, Senior Notes |
4.350 | % | 1/15/47 | 3,860,000 | 2,736,883 | |||||||||||
Mexico Government International Bond, Senior Notes |
4.400 | % | 2/12/52 | 55,900,000 | 38,883,442 | |||||||||||
|
|
|||||||||||||||
Total Mexico |
98,912,623 | |||||||||||||||
|
|
|||||||||||||||
Panama - 0.2% |
||||||||||||||||
Panama Government International Bond, Senior Notes |
3.160 | % | 1/23/30 | 2,770,000 | 2,335,003 | |||||||||||
Panama Government International Bond, Senior Notes |
4.500 | % | 4/16/50 | 14,480,000 | 9,897,880 | |||||||||||
Panama Government International Bond, Senior Notes |
4.300 | % | 4/29/53 | 19,500,000 | 12,764,436 | |||||||||||
Panama Government International Bond, Senior Notes |
4.500 | % | 4/1/56 | 3,900,000 | 2,578,546 | |||||||||||
|
|
|||||||||||||||
Total Panama |
27,575,865 | |||||||||||||||
|
|
|||||||||||||||
Peru - 0.1% |
||||||||||||||||
Peruvian Government International Bond, Senior Notes |
5.625 | % | 11/18/50 | 5,998,000 | 5,564,549 | |||||||||||
Peruvian Government International Bond, Senior Notes |
3.550 | % | 3/10/51 | 410,000 | 271,086 | |||||||||||
Peruvian Government International Bond, Senior Notes |
3.600 | % | 1/15/72 | 11,580,000 | 6,905,614 | |||||||||||
|
|
|||||||||||||||
Total Peru |
12,741,249 | |||||||||||||||
|
|
|||||||||||||||
Uruguay - 0.4% |
||||||||||||||||
Uruguay Government International Bond, Senior Notes |
4.375 | % | 1/23/31 | 7,446,073 | 7,136,873 | |||||||||||
Uruguay Government International Bond, Senior Notes |
5.750 | % | 10/28/34 | 29,480,000 | 30,077,684 | |||||||||||
Uruguay Government International Bond, Senior Notes |
7.625 | % | 3/21/36 | 3,150,000 | 3,623,512 | |||||||||||
Uruguay Government International Bond, Senior Notes |
5.100 | % | 6/18/50 | 18,884,000 | 16,783,784 | |||||||||||
|
|
|||||||||||||||
Total Uruguay |
57,621,853 | |||||||||||||||
|
|
|||||||||||||||
TOTAL SOVEREIGN BONDS |
|
341,325,950 | ||||||||||||||
|
|
|||||||||||||||
U.S. TREASURY INFLATION PROTECTED SECURITIES - 1.0% | ||||||||||||||||
U.S. Treasury Bonds, Inflation Indexed |
1.500 | % | 2/15/53 | 1,892,219 | 1,567,279 | |||||||||||
U.S. Treasury Notes, Inflation Indexed |
1.125 | % | 1/15/33 | 153,453,667 | 138,690,720 | (k) | ||||||||||
|
|
|||||||||||||||
TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES |
|
140,257,999 | ||||||||||||||
|
|
See Notes to Schedule of Investments.
68 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
EXPIRATION DATE |
CONTRACTS | NOTIONAL AMOUNT |
VALUE | ||||||||||||
PURCHASED OPTIONS - 0.3% | ||||||||||||||||
EXCHANGE-TRADED PURCHASED OPTIONS - 0.3% | ||||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put @ $97.000 |
10/13/23 | 5,748 | $ | 14,370,000 | $ | 22,848,300 | ||||||||||
SOFR 1-Year Mid-Curve Futures, Put @ $95.875 |
12/15/23 | 2,451 | 6,127,500 | 3,584,587 | ||||||||||||
SOFR 1-Year Mid-Curve Futures, Put @ $96.000 |
12/15/23 | 5,768 | 14,420,000 | 9,877,700 | ||||||||||||
U.S. Treasury 5-Year Notes Futures, Call @ $105.250 |
10/6/23 | 185 | 185,000 | 62,149 | ||||||||||||
U.S. Treasury 5-Year Notes Futures, Call @ $105.250 |
10/27/23 | 370 | 370,000 | 228,360 | ||||||||||||
U.S. Treasury 5-Year Notes Futures, Call @ $105.500 |
10/27/23 | 91 | 91,000 | 44,789 | ||||||||||||
U.S. Treasury 5-Year Notes Futures, Call @ $106.000 |
10/27/23 | 2,883 | 2,883,000 | 878,415 | ||||||||||||
U.S. Treasury 5-Year Notes Futures, Call @ $106.250 |
10/27/23 | 997 | 997,000 | 233,672 | ||||||||||||
U.S. Treasury 5-Year Notes Futures, Call @ $106.500 |
10/27/23 | 370 | 370,000 | 66,485 | ||||||||||||
U.S. Treasury 10-Year Notes Futures, Call @ $108.250 |
10/27/23 | 185 | 185,000 | 144,531 | ||||||||||||
U.S. Treasury 10-Year Notes Futures, Call @ $108.500 |
10/27/23 | 123 | 123,000 | 82,641 | ||||||||||||
U.S. Treasury 10-Year Notes Futures, Call @ $110.500 |
10/27/23 | 123 | 123,000 | 19,219 | ||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call @ $119.000 |
10/27/23 | 494 | 494,000 | 131,219 | ||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call @ $120.000 |
10/27/23 | 123 | 123,000 | 23,062 | ||||||||||||
|
|
|||||||||||||||
TOTAL PURCHASED OPTIONS |
|
38,225,129 | ||||||||||||||
|
|
|||||||||||||||
RATE | MATURITY DATE |
FACE AMOUNT |
||||||||||||||
MUNICIPAL BONDS - 0.0% | ||||||||||||||||
Illinois - 0.0% |
||||||||||||||||
Chicago, IL, GO, Taxable Project, Series B, Refunding |
6.314 | % | 1/1/44 | 3,000 | 2,717 | |||||||||||
|
|
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
69 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Fund net assets)
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Ohio - 0.0% |
||||||||||||||||
American Municipal Power-Ohio Inc., OH, Revenue, Series B, Taxable-combined Hydroelectric Projects Build America Bonds |
7.834 | % | 2/15/41 | $ | 134,000 | $ | 157,396 | |||||||||
|
|
|||||||||||||||
TOTAL MUNICIPAL BONDS |
160,113 | |||||||||||||||
|
|
|||||||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
|
14,625,011,030 | ||||||||||||||
|
|
|||||||||||||||
SHARES | ||||||||||||||||
SHORT-TERM INVESTMENTS - 2.2% | ||||||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares |
5.259 | % | 310,387,834 | 310,387,834 | (l)(m) | |||||||||||
|
|
|||||||||||||||
TOTAL INVESTMENTS - 105.3% |
|
14,935,398,864 | ||||||||||||||
|
|
|||||||||||||||
Liabilities in Excess of Other Assets - (5.3)% |
(748,166,126 | ) | ||||||||||||||
|
|
|||||||||||||||
TOTAL NET ASSETS - 100.0% |
$ | 14,187,232,738 | ||||||||||||||
|
|
See Notes to Schedule of Investments.
70 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
| Represents less than 0.1%. |
(a) | All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts. |
(b) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. |
(c) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(d) | Security has no maturity date. The date shown represents the next call date. |
(e) | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. |
(f) | Securities traded on a when-issued or delayed delivery basis. |
(g) | Security is valued in good faith in accordance with procedures approved by the Board of Directors (Note 1). |
(h) | Security is valued using significant unobservable inputs (Note 1). |
(i) | This security is traded on a to-be-announced (TBA) basis. At September 30, 2023, the Fund held TBA securities with a total cost of $679,867,010. |
(j) | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit. |
(k) | All or a portion of this security is held at the broker as collateral for open futures contracts and exchange-traded options. |
(l) | In this instance, as defined in the Investment Company Act of 1940, an Affiliated Company represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At September 30, 2023, the total market value of investments in Affiliated Companies was $316,382,700 and the cost was $316,387,834 (Note 2). |
(m) | Rate shown is one-day yield as of the end of the reporting period. |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
71 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
Abbreviation(s) used in this schedule: | ||||
ACES | | Alternative Credit Enhancement Securities | ||
CAS | | Connecticut Avenue Securities | ||
CDO | | Collateralized Debt Obligation | ||
CLO | | Collateralized Loan Obligation | ||
CMT | | Constant Maturity Treasury | ||
GO | | General Obligation | ||
GTD | | Guaranteed | ||
IBOR | | Interbank Offered Rate | ||
ICE | | Intercontinental Exchange | ||
IO | | Interest Only | ||
JSC | | Joint Stock Company | ||
LIBOR | | London Interbank Offered Rate | ||
PAC | | Planned Amortization Class | ||
PO | | Principal Only | ||
REMIC | | Real Estate Mortgage Investment Conduit | ||
SOFR | | Secured Overnight Financing Rate | ||
STRIPS | | Separate Trading of Registered Interest and Principal Securities | ||
USD | | United States Dollar |
At September 30, 2023, the Fund had the following written options contracts:
EXCHANGE-TRADED WRITTEN OPTIONS |
SECURITY |
EXPIRATION DATE |
STRIKE PRICE |
CONTRACTS | NOTIONAL AMOUNT |
VALUE | |||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put |
10/13/23 | $ | 96.250 | 5,748 | $ | 14,370,000 | $ | (12,106,725 | ) | |||||||||||
SOFR 1-Year Mid-Curve Futures, Put |
10/13/23 | 96.500 | 5,748 | 14,370,000 | (15,663,300 | ) | ||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put |
12/15/23 | 95.250 | 4,902 | 12,255,000 | (2,359,087 | ) | ||||||||||||||
SOFR 1-Year Mid-Curve Futures, Put |
12/15/23 | 95.375 | 11,536 | 28,840,000 | (7,282,100 | ) | ||||||||||||||
U.S. Treasury 5-Year Notes Futures, Call |
10/27/23 | 106.750 | 737 | 737,000 | (97,883 | ) | ||||||||||||||
U.S. Treasury 5-Year Notes Futures, Call |
10/27/23 | 107.000 | 123 | 123,000 | (12,492 | ) | ||||||||||||||
U.S. Treasury 5-Year Notes Futures, Call |
10/27/23 | 107.500 | 611 | 611,000 | (38,187 | ) | ||||||||||||||
U.S. Treasury 5-Year Notes Futures, Put |
10/27/23 | 106.000 | 246 | 246,000 | (232,547 | ) | ||||||||||||||
U.S. Treasury 10-Year Notes Futures, Call |
10/27/23 | 109.000 | 185 | 185,000 | (86,719 | ) | ||||||||||||||
U.S. Treasury 10-Year Notes Futures, Call |
10/27/23 | 109.500 | 613 | 613,000 | (201,141 | ) | ||||||||||||||
U.S. Treasury 10-Year Notes Futures, Call |
10/27/23 | 111.000 | 738 | 738,000 | (80,719 | ) |
See Notes to Schedule of Investments.
72 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
SECURITY |
EXPIRATION DATE |
STRIKE PRICE |
CONTRACTS | NOTIONAL AMOUNT |
VALUE | |||||||||||||||
U.S. Treasury 10-Year Notes Futures, Call |
10/27/23 | $ | 112.000 | 123 | $ | 123,000 | $ | (5,766 | ) | |||||||||||
U.S. Treasury 10-Year Notes Futures, Call |
10/27/23 | 112.500 | 612 | 612,000 | (19,125 | ) | ||||||||||||||
U.S. Treasury 10-Year Notes Futures, Call |
10/27/23 | 113.000 | 735 | 735,000 | (22,969 | ) | ||||||||||||||
U.S. Treasury 10-Year Notes Futures, Call |
11/24/23 | 109.000 | 186 | 186,000 | (156,937 | ) | ||||||||||||||
U.S. Treasury 10-Year Notes Futures, Put |
10/27/23 | 108.000 | 616 | 616,000 | (519,750 | ) | ||||||||||||||
U.S. Treasury 10-Year Notes Futures, Put |
10/27/23 | 109.000 | 123 | 123,000 | (172,969 | ) | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call |
10/6/23 | 115.000 | 124 | 124,000 | (52,312 | ) | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call |
10/27/23 | 115.000 | 62 | 62,000 | (79,437 | ) | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call |
10/27/23 | 116.000 | 309 | 309,000 | (280,031 | ) | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call |
10/27/23 | 117.000 | 599 | 599,000 | (365,016 | ) | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call |
10/27/23 | 118.000 | 50 | 50,000 | (20,313 | ) | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put |
10/27/23 | 111.000 | 1,098 | 1,098,000 | (943,594 | ) | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put |
10/27/23 | 116.000 | 369 | 369,000 | (1,153,125 | ) | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put |
10/27/23 | 118.000 | 370 | 370,000 | (1,705,469 | ) | ||||||||||||||
|
|
|||||||||||||||||||
TOTAL EXCHANGE-TRADED WRITTEN OPTIONS |
|
$ | (43,657,713 | ) | ||||||||||||||||
|
|
Abbreviation(s) used in this schedule: | ||||
SOFR | | Secured Overnight Financing Rate |
At September 30, 2023, the Fund had the following open futures contracts:
Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
3-Month SOFR |
6,867 | 3/25 | $ | 1,646,098,513 | $ | 1,637,951,175 | $ | (8,147,338 | ) | |||||||||||
3-Month SOFR |
641 | 6/25 | 153,317,446 | 153,351,237 | 33,791 |
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
73 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
|
Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
Contracts to Buy (continued) | ||||||||||||||||||||
3-Month SOFR |
11,653 | 3/26 | $ | 2,800,641,498 | $ | 2,798,030,963 | $ | (2,610,535 | ) | |||||||||||
U.S. Treasury 2-Year Notes |
129 | 12/23 | 26,131,125 | 26,149,711 | 18,586 | |||||||||||||||
U.S. Treasury 5-Year Notes |
29,554 | 12/23 | 3,139,142,323 | 3,113,791,116 | (25,351,207 | ) | ||||||||||||||
U.S. Treasury Long-Term Bonds |
6,659 | 12/23 | 797,312,350 | 757,669,343 | (39,643,007 | ) | ||||||||||||||
U.S. Treasury Ultra 10-Year Notes |
1,363 | 12/23 | 156,321,421 | 152,059,688 | (4,261,733 | ) | ||||||||||||||
U.S. Treasury Ultra Long-Term Bonds |
4,195 | 12/23 | 532,021,325 | 497,894,063 | (34,127,262 | ) | ||||||||||||||
|
|
|||||||||||||||||||
(114,088,705 | ) | |||||||||||||||||||
|
|
|||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
30-Day Federal Funds |
620 | 10/23 | 244,582,658 | 244,591,482 | (8,824 | ) | ||||||||||||||
3-Month SOFR |
11,600 | 12/23 | 2,746,588,327 | 2,744,270,000 | 2,318,327 | |||||||||||||||
3-Month SOFR |
13,768 | 3/24 | 3,279,842,122 | 3,254,411,000 | 25,431,122 | |||||||||||||||
3-Month SOFR |
8,769 | 6/24 | 2,075,048,458 | 2,074,416,562 | 631,896 | |||||||||||||||
U.S. Treasury 10-Year Notes |
32,584 | 12/23 | 3,584,542,108 | 3,521,108,500 | 63,433,608 | |||||||||||||||
|
|
|||||||||||||||||||
91,806,129 | ||||||||||||||||||||
|
|
|||||||||||||||||||
Net unrealized depreciation on open futures contracts |
|
$ | (22,282,576 | ) | ||||||||||||||||
|
|
Abbreviation(s) used in this table:
SOFR | Secured Overnight Financing Rate |
At September 30, 2023, the Fund had the following open swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAPS | ||||||||||||||||||||||||
NOTIONAL AMOUNT |
TERMINATION DATE |
PAYMENTS MADE BY THE FUND |
PAYMENTS |
MARKET |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||
$3,554,814,000 | 1/31/24 | 5.410%** | Daily U.S. Federal Funds Intraday Effective Rate** | $131,394 | | $ | 131,394 |
See Notes to Schedule of Investments.
74 |
Western Asset Core Bond Fund 2023 Quarterly Report |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
CENTRALLY CLEARED INTEREST RATE SWAPS (contd) | ||||||||||||||||||||||
NOTIONAL AMOUNT |
TERMINATION DATE |
PAYMENTS MADE BY THE FUND |
PAYMENTS |
MARKET |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
$ | 461,342,000 | 9/30/24 | Daily SOFR Compound annually |
3.500% annually | $(8,650,886) | $ | 131,567 | $ | (8,782,453 | ) | ||||||||||||
789,540,000 | 2/29/28 | Daily SOFR Compound annually |
4.000% annually | (11,021,775) | (142,638 | ) | (10,879,137 | ) | ||||||||||||||
1,213,350,000 | 2/29/28 | Daily SOFR Compound annually |
4.180% annually | (8,540,189) | 913,940 | (9,454,129 | ) | |||||||||||||||
175,011,000 | 2/15/29 | 2.850% annually | Daily SOFR Compound annually | 12,551,544 | (300,324 | ) | 12,851,868 | |||||||||||||||
71,759,000 | 4/30/29 | 3.270% annually | Daily SOFR Compound annually | 3,811,924 | 838,672 | 2,973,252 | ||||||||||||||||
45,885,000 | 6/30/29 | 3.850% annually | Daily SOFR Compound annually | 1,145,612 | (21,195 | ) | 1,166,807 | |||||||||||||||
122,577,000 | 9/30/29 | 3.250% annually | Daily SOFR Compound annually | 6,925,723 | 66,762 | 6,858,961 | ||||||||||||||||
95,889,000 | 2/15/47 | 1.520% annually |
Daily SOFR Compound annually |
37,362,804 | (618,885 | ) | 37,981,689 | |||||||||||||||
93,963,000 | 2/15/48 | 2.600% annually | Daily SOFR Compound annually | 21,885,728 | 9,896,880 | 11,988,848 | ||||||||||||||||
229,780,000 | 2/15/48 | 3.050% annually | Daily SOFR Compound annually | 37,876,468 | 8,761,574 | 29,114,894 | ||||||||||||||||
190,799,000 | 5/15/48 | 3.150% annually | Daily SOFR Compound annually | 28,579,755 | (33,823,164 | ) | 62,402,919 | |||||||||||||||
37,524,000 | 4/21/52 | 2.500% annually | Daily SOFR Compound annually | 9,648,319 | 34,968 | 9,613,351 | ||||||||||||||||
|
|
|
|
|
|
|
||||||||||||||||
Total | $ | 7,082,233,000 | $131,706,421 | $ | (14,261,843 | ) | $ | 145,968,264 | ||||||||||||||
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
Western Asset Core Bond Fund 2023 Quarterly Report |
75 |
WESTERN ASSET CORE BOND FUND
Schedule of investments (unaudited) (contd) | September 30, 2023 |
OTC CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1 |
||||||||||||||||||||||
SWAP COUNTERPARTY (REFERENCE ENTITY) |
NOTIONAL AMOUNT2 |
TERMINATION DATE |
PERIODIC PAYMENTS RECEIVED BY THE FUND |
MARKET VALUE3 |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION |
||||||||||||||||
Bank of America N.A. (PrimeX.FRM.1), 4.420%, due 7/25/36 | $ | 209,841 | 7/25/36 | 4.420% monthly | $ | 21,320 | $ | 9,748 | $ | 11,572 | (a)(b) | |||||||||||
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1 |
||||||||||||||||||||||
REFERENCE ENTITY |
NOTIONAL AMOUNT2 |
TERMINATION DATE |
PERIODIC PAYMENTS RECEIVED BY THE FUND |
MARKET VALUE3 |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED DEPRECIATION |
||||||||||||||||
Markit CDX.NA.IG.41 Index | $ | 1,134,514,500 | 12/20/28 | 1.000% quarterly | $ | 13,589,637 | $ | 14,943,217 | $ | (1,353,580 | ) |
1 | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
2 | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
3 | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| Percentage shown is an annual percentage rate. |
(a) | Swap contract is valued using significant unobservable inputs (Note 1). |
(b) | Swap contract is valued in good faith in accordance with procedures approved by the Board of Directors (Note 1). |
** | One time payment made at termination date. |
Abbreviation(s) used in this table:
SOFR | Secured Overnight Financing Rate |
This Schedule of Investments is unaudited and is intended to provide information about the Funds investments as of the date of the schedule. Other information regarding the Fund is available in the Funds most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
76 |
Western Asset Core Bond Fund 2023 Quarterly Report |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Core Bond Fund (the Fund) is a separate diversified investment series of Western Asset Funds, Inc. (the Corporation). The Corporation, a Maryland corporation, is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company.
The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services Investment Companies (ASC 946). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (GAAP), including, but not limited to, ASC 946.
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Funds Board of Directors.
Pursuant to policies adopted by the Board of Directors, the Funds manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Funds manager is assisted by the Global Fund Valuation Committee (the Valuation Committee). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Funds pricing policies, and reporting to the Funds manager and the Board of Directors. When determining the reliability of third
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Notes to Schedule of Investments (unaudited) (continued)
party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuers financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| Level 1 unadjusted quoted prices in active markets for identical investments |
| Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3 significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments) |
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Notes to Schedule of Investments (unaudited) (continued)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Funds assets and liabilities carried at fair value:
ASSETS |
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DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
Long-Term Investments: |
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Corporate Bonds & Notes |
| $ | 5,079,934,164 | | $ | 5,079,934,164 | ||||||||||
Mortgage-Backed Securities |
| 5,035,489,524 | $ | 1,203,238 | 5,036,692,762 | |||||||||||
Collateralized Mortgage Obligations |
| 1,840,333,114 | | 1,840,333,114 | ||||||||||||
U.S. Government & Agency Obligations |
| 1,174,716,397 | | 1,174,716,397 | ||||||||||||
Asset-Backed Securities |
| 973,365,402 | | 973,365,402 | ||||||||||||
Sovereign Bonds |
| 341,325,950 | | 341,325,950 | ||||||||||||
U.S. Treasury Inflation Protected Securities |
| 140,257,999 | | 140,257,999 | ||||||||||||
Purchased Options |
$ | 38,225,129 | | | 38,225,129 | |||||||||||
Municipal Bonds |
| 160,113 | | 160,113 | ||||||||||||
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Total Long-Term Investments |
38,225,129 | 14,585,582,663 | 1,203,238 | 14,625,011,030 | ||||||||||||
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Short-Term Investments |
310,387,834 | | | 310,387,834 | ||||||||||||
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Total Investments |
$ | 348,612,963 | $ | 14,585,582,663 | $ | 1,203,238 | $ | 14,935,398,864 | ||||||||
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Other Financial Instruments: |
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Futures Contracts |
$ | 91,867,330 | | | $ | 91,867,330 | ||||||||||
Centrally Cleared Interest Rate Swaps |
| $ | 175,083,983 | | 175,083,983 | |||||||||||
OTC Credit Default Swaps on Credit Indices - Sell Protection |
| | $ | 21,320 | 21,320 | |||||||||||
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Total Other Financial Instruments |
$ | 91,867,330 | $ | 175,083,983 | $ | 21,320 | $ | 266,972,633 | ||||||||
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Total |
$ | 440,480,293 | $ | 14,760,666,646 | $ | 1,224,558 | $ | 15,202,371,497 | ||||||||
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Notes to Schedule of Investments (unaudited) (continued)
LIABILITIES |
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DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
Other Financial Instruments: |
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Written Options |
$ | 43,657,713 | | | $ | 43,657,713 | ||||||||||
Futures Contracts |
114,149,906 | | | 114,149,906 | ||||||||||||
Centrally Cleared Interest Rate Swaps |
| $ | 29,115,719 | | 29,115,719 | |||||||||||
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection |
| 1,353,580 | | 1,353,580 | ||||||||||||
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Total | $ | 157,807,619 | $ | 30,469,299 | | $ | 188,276,918 | |||||||||
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| See Schedule of Investments for additional detailed categorizations. |
| Reflects the unrealized appreciation (depreciation) of the instruments. |
| Value includes any premium paid or received with respect to swap contracts. |
2. Transactions with affiliated companies
As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The Fund invested in Western Asset Premier Institutional Government Reserves, Premium Shares, an affiliated registered money market fund managed by Western Asset Management Company, LLC. Benefit Street Partners is a wholly-owned subsidiary of Franklin Resources, Inc. The following companies were considered affiliated companies for all or some portion of the period ended September 30, 2023. The following transactions were effected in such companies for the period ended September 30, 2023.
Affiliate Value at December 31, 2022 |
Purchased | Sold | ||||||||||||||||||
Cost | Shares/ Face amount |
Proceeds | Shares/ Face amount |
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Benefit Street Partners CLO Ltd., 2014-IVA ARRR | $ | 5,898,591 | | | | | ||||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares | 644,150,557 | $ | 3,980,881,505 | 3,980,881,505 | $ | 4,314,644,228 | 4,314,644,228 | |||||||||||||
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$ | 650,049,148 | $ | 3,980,881,505 | $ | 4,314,644,228 | |||||||||||||||
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Notes to Schedule of Investments (unaudited) (continued)
(contd) |
Realized Gain (Loss) |
Interest/ Dividend Income |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) |
Affiliate Value at September 30, 2023 |
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Benefit Street Partners CLO Ltd., 2014-IVA ARRR |
| $ | 286,856 | $ | 96,275 | $ | 5,994,866 | |||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares |
| 16,384,947 | | 310,387,834 | ||||||||||||
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| $ | 16,671,803 | $ | 96,275 | $ | 316,382,700 | ||||||||||
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